Weak Euler approximation for Itô diffusion and jump processes

DOI10.1080/07362994.2015.1014102MaRDI QIDQ5256274zbMATH OpenOpenAlexFDO

Authors Changyong Zhang, R. Mikulevicius

Publication date 22 June 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.2914

zbMATH Keywords

Hölder conditionsItō diffusion processesjump processesrate of convergencestable processesstochastic differential equationsweak Euler approximation

Mathematics Subject Classification ID

Initial value problems for PDEs with pseudodifferential operators (35S10) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Abstract: The paper studies the rate of convergence of the weak Euler approximation for It^{o} diffusion and jump processes with H"{o}lder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion processes and a class of stochastic differential equations driven by stable processes. To estimate the rate of convergence, the existence of a unique solution to the corresponding backward Kolmogorov equation in H"{o}lder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.

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Cited in

(13)

• On the weak approximation of a skew diffusion by an Euler-type scheme
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
• Extrapolation Methods for the Weak Approximation of Ito Diffusions
• Transition density estimates for diagonal systems of SDEs driven by cylindrical -stable processes
• The Girsanov theorem without (so much) stochastic analysis
• On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
• Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• Weak approximation of Schrödinger-Föllmer diffusion
• A storage system with jump-driven uncertainty and its performance implications

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