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Approximate and jump-adapted Euler schemes 1 Parabolic integro-differential equations 1 Weak Euler scheme 1
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Mikulevicius, R. 1
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Stochastic Processes and their Applications 1
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On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
Mikulevicius, R. - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2730-2757
The paper studies the rate of convergence of a weak Euler approximation for solutions to possibly completely degenerate SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes and its...
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