Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes

DOI10.14495/JSIAML.5.13zbMath1465.60050OpenAlexW2060095931MaRDI QIDQ3121190

Hiroya Hashimoto, Takahiro Tsuchiya

Publication date: 15 March 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.5.13

zbMATH Keywords

stochastic differential equationsEuler-Maruyama approximationrotation invariant stable processes

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Computational methods for problems pertaining to probability theory (60-08) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs

Cites Work

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• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Discretization and simulation of stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations
• Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients
• Quelques applications de la formule de changement de variables pour les semimartingales

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