eldorado.tu-dortmund.de/server/api/core/bitstreams/17ed61bf-edc9-4c51-a2df-417d35dccbf8/content
1. (i) Let a : R×R→ R, b : R×R→ R, h : R×R→ R be Lipschitz continuous functions
w.r.t. x and 1 2 -Hölder continuous w.r.t. t, i.e., for a constant K > 0
|b(t, x)− b(t′, x′)|+ |a(t, x)− a(t′, x′)|+ |h(t [...] simulating 1 ≤ m ≤M paths Xn,π,m of Xn,π and initialize Ȳ n,π,mT = g(Xn,π,m
T ). Then we regress Ȳ n,π,mtk+1
and Ȳ n,π,mtk+1 ∆Bmk+1 and Ȳ n,π,mtk+1
R ρ(e)eµ̃n,m(de, (tk, tk+1]) on Xn,π,m
tk . Details [...] that the Lévy measure ν can be decomposed as
ν(B) = ∞
0 P[H(r, V ) ∈ B]dr, B ∈ B,
where V is a random variable in some space V and H : (0,∞) × V → R is a measurable function such that for every v ∈ V, …
