Stochastic Differential Equations Driven by Lévy Processes
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This chapter presents stochastic differential equations driven by Lévy processes. After an introduction to the main properties of Lévy processes and their measures, a detailed exposition of the most important models like NIG, IG, variance gamma, etc, are introduced. Simulation schemes and estimation for exponential Lévy models and diffusion processes with compound Poisson jumps are considered with examples. Full R code for completing the above analyses with yuima package is provided.