Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes

By Serge Cohen, J. Rosínski. 2007

83 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e41d4270cb19d895159a98dd4a1ba5e4a9bca252

How researchers see this paper

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In Finance

1. Arturo Kohatsu-Higa
2. Peter Tankov
3. Ekaterina Voltchkova
4. Steven Kou
5. Gianluca Fusai
6. Attilio Meucci
7. Leif B. G. Andersen
8. Alexander Lipton

In Management Science and Operations Research

1. Arturo Kohatsu-Higa
2. Peter Tankov

Citations in the corpus

• Jump-adapted discretization schemes for Lévy-driven SDEs (2010, methodology): “In order to take into account the jumps smaller than ε, we use the idea of Asmussen and Rosiński [1] (see also [5]) and replace all the jumps of Z smaller than ε between the jump times of the compound Poisson approximation with σεW where W is a Brownian motion and σε is a coefficient which equals th”