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

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

Authors R. Mikulevicius, Changyong Zhang 

Publication date 22 July 2011

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

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

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)

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.

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Cited In (17)

• 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
• Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift
• 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 no real title available?)
• 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 no real title available?)
• 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

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