Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (Q4331093)

A theorem is proved that gives the order of convergence of two types of Euler approximation of the weak solution of the stochastic integral equation \[ \begin{multlined} X(t)= X(0)+ \int^t_0 a(s, X(s-)) ds+ \int^t_0 b(s, X(s-)) dW_s+\\\int^t_0 \int_\Gamma c(s, X(s-),\theta) q(d\theta, ds),\qquad t\in [0,T],\end{multlined} \] where \(W\) is an \(m\)-dimensional standard Wiener process, \(q\) is a Poisson martingale measure, \(\Gamma= \mathbb{R}^n\setminus\{0\}\), and \(a\), \(b\), \(c\) satisfy Hölder conditions.