Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift

DOI10.1016/J.SPL.2024.110220MaRDI QIDQ6606033zbMATH OpenFDO

Authors Yan-Fang Li, Guohuan Zhao

Publication date 16 September 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationstochastic difference equationEuler-Maruyama schemeLévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic difference equations (39A50) Stochastic integral equations (60H20)

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• Supercritical SDEs driven by multiplicative stable-like Lévy processes
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• Weak convergence of Euler scheme for SDEs with low regular drift

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