Euler-Maruyama scheme for SDE driven by L\'evy process with H\"older drift
Probability
2023-04-28 v1 Analysis of PDEs
Abstract
This study focuses on approximating solutions to SDEs driven by L\'evy processes with H\"older continuous drifts using the Euler-Maruyama scheme. We derive the -error for a broad range of driven noises, including all nondegenerate -stable processes ().
Keywords
Cite
@article{arxiv.2304.13952,
title = {Euler-Maruyama scheme for SDE driven by L\'evy process with H\"older drift},
author = {Yanfang Li and Guohuan Zhao},
journal= {arXiv preprint arXiv:2304.13952},
year = {2023}
}