On the rate of convergence of weak Euler approximation for non-degenerate SDEs
Probability
2010-11-23 v3 Analysis of PDEs
Abstract
The paper estimates the rate of convergence of the weak Euler approximation for the solutions of SDEs with Hoelder continuous coefficients driven by point and martingale measures. The equation considered has a non-degenerate main part whose jump intensity measure is absolutely continuous with respect to the Levy measure of a spherically-symmetric stable process. It includes the nondegenerate diffusions and SDEs driven by Levy processes.
Keywords
Cite
@article{arxiv.1009.4728,
title = {On the rate of convergence of weak Euler approximation for non-degenerate SDEs},
author = {R. Mikulevicius and C. Zhang},
journal= {arXiv preprint arXiv:1009.4728},
year = {2010}
}
Comments
Added references, corrected typos