Discrete space-simulation for Lévy processes
In this thesis I will present a way of discretizing Lévy processes in space instead of in time. The foundation is built on work done by Adalbjörnsson,Quiroz and Wiktorsson, which shows how this is done for Brownian motions with constant drift and volatility. I then start by extending the method to multidimensional Brownian motions, which is then extended to multidimensional SDE:s by using an Euler