摘要
In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula 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.
In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula 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.
作者
Jiawen Mei
Yifei Xin
Jiawen Mei;Yifei Xin(University of Shanghai for Science and Technology, Shanghai, China)
