@article {IOPORT.05817772,
    author       = {Kohatsu-Higa, Arturo and Tankov, Peter},
    title        = {Jump-adapted discretization schemes for L\'evy-driven sdes.},
    year         = {2010},
    journal      = {Stochastic Processes and their Applications},
    volume       = {120},
    number       = {11},
    issn         = {0304-4149},
    pages        = {2258-2285},
    publisher    = {Elsevier Science Publishers B.V. (North-Holland), Amsterdam},
    doi          = {10.1016/j.spa.2010.07.001},
    abstract     = {Summary: We present new algorithms for weak approximation of stochastic differential equations driven by pure jump L\'evy processes. The method uses adaptive non-uniform discretization based on the times of large jumps of the driving process. To approximate the solution between these times we replace the small jumps with a Brownian motion. Our technique avoids the simulation of the increments of the L\'evy process, and in many cases achieves better convergence rates than the traditional Euler scheme with equal time steps. To illustrate the method, we discuss an application to option pricing in the Libor market model with jumps.},
    identifier   = {05817772},
}