Computer simulation of diffusions driven by α-stable Lévy motion Original Research Article

In this paper we demonstrate that with the use of numerical discretization methods and computer simulation techniques it is possible to construct approximations of stochastic integrals with integrators defined by α-stable (stable) Lévy motion. As a consequence, solving numerically stochastic differential equations involving such integrals, we obtain an effective method of approximate construction of a wide class of diffusions with jumps.