Stochastic Differential Equations Driven by Levy Processes

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 closed-form 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 widely-studied diffusions and stochastic differential equations driven by spherically-symmetric 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.