First order convergence of weak Wong--Zakai approximations of L\'evy driven Marcus SDEs

Tetyana Kosenkova; Alexei Kulik; Ilya Pavlyukevich

First order convergence of weak Wong--Zakai approximations of L\'evy driven Marcus SDEs

Probability 2020-02-10 v1

Authors: Tetyana Kosenkova , Alexei Kulik , Ilya Pavlyukevich

Abstract

For solutions $X=(X_t)_{t\in[0,T]}$ of L\'evy-driven Marcus stochastic differential equations we study the Wong--Zakai type time discrete approximations $\bar X=(\bar X_{kh})_{0\leq k\leq T/h}$ , $h>0$ , and establish the first order convergence $|E f(X_T)-E f(X^h_T)|\leq C h$ for $f\in C_b^4$ .

Keywords

levy-driven marcus sdes wong-zakai approximations first order convergence weak convergence stochastic differential equations

Cite

@article{arxiv.2002.02652,
  title  = {First order convergence of weak Wong--Zakai approximations of L\'evy driven Marcus SDEs},
  author = {Tetyana Kosenkova and Alexei Kulik and Ilya Pavlyukevich},
  journal= {arXiv preprint arXiv:2002.02652},
  year   = {2020}
}

Related papers

View all related →