English

Strong convergence rate of Euler-Maruyama approximations in temporal-spatial H\"older-norms for L\'evy-driven stochastic differential equations

Probability 2026-05-12 v2
Authors: Vu Thi Hue , Ngoc Khue Tran , Hoang-Long Ngo
View on arXiv ↗ PDF ↗

Abstract

We study the error between the exact solution and its Euler-Maruyama approximation in temporal-spatial H\"older-norms for L\'evy-driven stochastic differential equations.

Keywords

Euler-Maruyama Approximation Strong Convergence Rate Lévy-driven SDEs Hölder Norm

Cite

@article{arxiv.2604.25964,
  title  = {Strong convergence rate of Euler-Maruyama approximations in temporal-spatial H\"older-norms for L\'evy-driven stochastic differential equations},
  author = {Vu Thi Hue and Ngoc Khue Tran and Hoang-Long Ngo},
  journal= {arXiv preprint arXiv:2604.25964},
  year   = {2026}
}

Related papers

View all related →
Numerical Analysis · Mathematics
Strong convergence rate of Euler-Maruyama approximations in temporal-spatial H\"older-norms
Tuan Anh Nguyen, Martin Hutzenthaler
2022-04-11
Probability · Mathematics
Strong convergence of the Euler--Maruyama approximation for a class of L\'evy-driven SDEs
Franziska Kühn, René L. Schilling
2020-05-01
Probability · Mathematics
Strong rate of convergence for the Euler-Maruyama approximation of SDEs with H\"older continuous drift coefficient
Olivier Menoukeu Pamen, Dai Taguchi
2016-05-24
Numerical Analysis · Mathematics
The weak rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local times of the unknown process
Mohsine Benabdallah, Kamal Hiderah
2017-01-18
Probability · Mathematics
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Hoang-Long Ngo, Dai Taguchi
2016-07-21
Probability · Mathematics
Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients
Hoang-Long Ngo, Dai Taguchi
2014-04-11
Probability · Mathematics
Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally H\"older continuous diffusion
Minh-Thang Do, Hoang-Long Ngo, Nhat-An Pho
2023-05-15
Probability · Mathematics
Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Hoang-Long Ngo, Dai Taguchi
2016-09-02
Numerical Analysis · Mathematics
Parameter-related strong convergence rates of Euler-type methods for time-changed stochastic differential equations
Ruchun Zuo
2026-03-12
Numerical Analysis · Mathematics
Truncated Euler-Maruyama method for time-changed stochastic differential equations with super-linear state variables and H\"older's continuous time variables
Xiaotong Li, Wei Liu, Tianjiao Tang
2022-05-03
Numerical Analysis · Mathematics
Strong convergence rate of Euler-Maruyama method for stochastic differential equations with H\"older continuous drift coefficient driven by symmetric $\alpha$-stable process
Wei Liu
2024-12-20
Probability · Mathematics
Approximation of the L\'evy-driven stochastic heat equation on the sphere
Annika Lang, Andrea Papini, Verena Schwarz
2025-07-08
Numerical Analysis · Mathematics
Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
Monika Eisenmann, Mihály Kovács, Raphael Kruse, Stig Larsson
2022-05-10
Probability · Mathematics
On the infinite time horizon approximation for L\'evy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
Ngoc Khue Tran, Trung-Thuy Kieu, Duc-Trong Luong, Hoang-Long Ngo
2024-01-09
Probability · Mathematics
Strong rate of convergence for the Euler--Maruyama scheme of SDEs with unbounded H\"older continuous drift coefficient
Tsukasa Moritoki, Dai Taguchi
2026-01-09
Probability · Mathematics
Strong convergence rates of modified truncated EM method for stochastic differential equations
Guangqiang Lan, Fang Xia
2017-01-18
Numerical Analysis · Mathematics
Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
Wei Liu, Xuerong Mao, Jingwen Tang, Yue Wu
2019-07-19
Probability · Mathematics
Strong convergence rates of modified truncated EM methods for neutral stochastic differential delay equations
Guangqiang Lan, Qiushi Wang
2018-07-25
Probability · Mathematics
Strong solutions and sharp Euler--Maruyama approximations for SDEs with Lebesgue--Dini drift
Jinlong Wei, Junhao Hu, Guangying Lv, Chenggui Yuan
2026-02-16
Probability · Mathematics
Strong rate of convergence of the Euler scheme for SDEs with irregular drift driven by Levy noise
Oleg Butkovsky, Konstantinos Dareiotis, Máté Gerencsér
2024-01-12
Numerical Analysis · Mathematics
The semi-implicit Euler-Maruyama method for nonlinear non-autonomous stochastic differential equations driven by a class of L\'evy processes
Xiaotong Li, Wei Liu, Hongjiong Tian
2023-11-21
Numerical Analysis · Mathematics
On the pathwise approximation of stochastic differential equations
Tony Shardlow, Phillip Taylor
2015-02-24
Probability · Mathematics
Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
Martin Hutzenthaler, Arnulf Jentzen
2020-11-25
Probability · Mathematics
Polynomial stability of exact solution and a numerical method for stochastic differential equations with time-dependent delay
Guangqiang Lan, Fang Xia, Qiushi Wang
2018-01-16
Numerical Analysis · Mathematics
Euler-Maruyama approximations of the stochastic heat equation on the sphere
Annika Lang, Ioanna Motschan-Armen
2024-02-05