Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Levy processes
We consider the Euler approximation of stochastic differential equations (SDEs) driven by Levy processes in the case where we cannot simulate the increments of the driving process exactly. In some cases, where the driving process Y is a subordinated stable process, i.e., Y = Z(V) with V a subordinator and Z a stable process, we propose an approximation Y by Z(V-n) where V-n is an approximation of
