Jump-Adapted Weak Approximations
- 4.7k Downloads
In this chapter we consider weak approximations constructed on jump-adapted time discretizations similar to those presented in Chap. 8. Since a jump-adapted discretization includes the jump times of the Poisson measure, we can use various approximations for the pure diffusion part between discretization points. Higher order jump-adapted weak schemes avoid multiple stochastic integrals that involve the Poisson random measure. Only multiple stochastic integrals with respect to time and Wiener processes, or their equivalents, are required. This leads to easily implementable schemes. It needs to be emphasized that jump-adapted weak approximations become computationally demanding when the intensity of the Poisson measure is high.
KeywordsWeak Convergence Time Step Size Euler Scheme Weak Order Weak Approximation
Unable to display preview. Download preview PDF.