On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Levy processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Mikulevicius, Remigijus¹  Zhang, Changyong¹ 

[1] Univ So Calif, Los Angeles, CA 90089 USA

关键词: Levy processes;    Stochastic differential equations;    Weak Euler approximation;   

DOI  :  10.1016/j.spa.2011.04.004

来源: Elsevier

【 摘 要 】

The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Levy processes, with Holder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

Free