On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes
Probability
2013-05-14 v3
Abstract
The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Levy processes, with Hoelder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a non-degenerate main part driven by a spherically-symmetric stable process.
Keywords
Cite
@article{arxiv.1103.2831,
title = {On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes},
author = {R. Mikulevicius and C. Zhang},
journal= {arXiv preprint arXiv:1103.2831},
year = {2013}
}