Title
Stochastic Differential Equations Driven by Levy Processes: Numerical Weak Approximation,Used
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Stochastic differential equations driven by Levy processes are used as mathematical models for random dynamic phenomena in applications arising from fields such as finance and insurance, to capture continuous and discontinuous uncertainty. For many applications, a stochastic differential equation does not have a closedform solution and the weak Euler approximation is applied. In such numerical treatment of stochastic differential equations, it is of theoretical and practical importance to estimate the rate of convergence of the discrete time approximation. In this book, it is systematically investigated the dependence of the rate of convergence on the regularity of the coefficients and driving processes. The model under consideration is of a more general form than existing ones, and hence is applicable to a broader range of processes, from the widelystudied diffusions and stochastic differential equations driven by sphericallysymmetric stable processes to stochastic differential equations driven by more general Levy processes. These processes can be found in a variety of fields, including physics, engineering, economics, and finance.
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