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

DOI10.1016/J.SPA.2011.04.004zbMATH Open1221.60101arXiv1103.2831OpenAlexW2068002106MaRDI QIDQ555019FDOQ555019

Authors: R. Mikulevicius, Changyong Zhang 

Publication date: 22 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1103.2831

Recommendations

• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
• Weak Euler scheme for Lévy-driven stochastic differential equations
• Weak Euler approximation for Itô diffusion and jump processes
• Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
• On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes

zbMATH Keywords

stochastic differential equationsweak Euler approximationLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Euler scheme for Lévy driven stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• Numerical solution of stochastic differential equations with jumps in finance
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• Title not available (Why is that?)
• Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
• On the Cauchy problem for certain integro-differential operators in Sobolev and Hölder spaces
• On Hölder solutions of the integro-differential Zakai equation
• On the martingale problem associated with nondegenerate Lévy operators
• On the martingale problem for generators of stable processes with perturbations
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

Cited In (16)

• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
• On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes
• Weak Euler approximation for Itô diffusion and jump processes
• Hellinger and total variation distance in approximating Lévy driven SDEs
• Value function regularity in option pricing problems under a pure jump model
• Transition density estimates for diagonal systems of SDEs driven by cylindrical \(\alpha\)-stable processes
• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
• Title not available (Why is that?)
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Weak Euler scheme for Lévy-driven stochastic differential equations
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
• Title not available (Why is that?)
• Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
• Weak Approximations for SDE’s Driven by Lévy Processes

This page was built for publication: On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q555019)