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Do you just use an Euler scheme as before?

E.g. take this process, OU process with a Levy driver.

\begin{equation} \text{d}V_t = -\lambda V_t\text{d}t + dZ_t \end{equation}

Do you just have

$V_{t_{i+1}} = V_{t_i} - V_{t_i}\lambda \delta t + \delta Z$?

where $\delta_t = t_{i+1}-t_i$ and $\delta Z$ is drawn from the distribution of $Z_{\delta t} - Z_0$?

Does anyone have a reference for the convergence rate for the Euler scheme/reference for any other related scheme?

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  • $\begingroup$ There is no jump term in your SDE. $\endgroup$ – user16651 Aug 15 '16 at 12:10
  • $\begingroup$ @BehrouzMaleki Z is a levy process, hence the name OU process with a levy driver. $\endgroup$ – Lost1 Aug 16 '16 at 9:12

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