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The Euler Scheme for a Stochastic Differential Equation Driven by Pure Jump Semimartingales

Published online by Cambridge University Press:  30 January 2018

Hanchao Wang*
Affiliation:
Zhejiang University
*
Postal address: Department of Mathematics, Zhejiang University, 38 Zheda Road, Hangzhou, 310027, China. Email address: [email protected]
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Abstract

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In this paper we propose the asymptotic error distributions of the Euler scheme for a stochastic differential equation driven by Itô semimartingales. Jacod (2004) studied this problem for stochastic differential equations driven by pure jump Lévy processes and obtained quite sharp results. We extend his results to a more general pure jump Itô semimartingale.

Type
Research Article
Copyright
© Applied Probability Trust 

References

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