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

DOI10.1016/J.SPA.2011.04.004MaRDI QIDQ555019zbMATHOpenAlexFDO

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)

• Hellinger and total variation distance in approximating Lévy driven SDEs
• On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes
• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
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• Value function regularity in option pricing problems under a pure jump model
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• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Transition density estimates for diagonal systems of SDEs driven by cylindrical \(\alpha\)-stable processes
• On the weak convergence rate of an exponential Euler scheme for SDEs governed by coefficients with superlinear growth
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• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
• Weak Approximations for SDE’s Driven by Lévy Processes
• scientific article; zbMATH DE number 5234214 (Why is no real title available?)

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