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On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes

The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process.
Year of publication:
2011
Authors: Mikulevicius, Remigijus ; Zhang, Changyong
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 8, p. 1720-1748
Publisher: Elsevier
Keywords: Levy processes Stochastic differential equations Weak Euler approximation
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10009146671
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