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.