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Platen, E. and Bruti-Liberati, N. (2010) Numerical Solution of Stochastic Differential Equations with Jumps in Finance. Springer Science.
https://doi.org/10.1007/978-3-642-13694-8

has been cited by the following article:

• TITLE: Numerical Scheme for Solving Stochastic Differential Equations with G-Lévy Process

  AUTHORS: Jiawen Mei, Yifei Xin

  KEYWORDS: G-Lévy Process, G-Expectation Property, SDEs, Euler Scheme

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.10 No.2, February 24, 2022

  ABSTRACT: In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itô formula and G-expectation property, we propose Euler scheme and Milstein scheme which have order-1.0 convergence rate. And two numerical experiments including Ornstein-Uhlenbeck and Black-Scholes cases are given.