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Teoriya Veroyatnostei i ee Primeneniya, 2018, Volume 63, Issue 2, Pages 306–329
DOI: https://doi.org/10.4213/tvp5176 (Mi tvp5176) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Weak Euler scheme for Lévy-driven stochastic differential equations

R. Mikulevičiusa, Ch. Zhangb

a Department of Mathematics, University of Southern California, Los Angeles, USA
b Department of Finance and Banking, Curtin University, Miri, Malaysia
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DOI: https://doi.org/10.4213/tvp5176
Abstract: This paper studies the rate of convergence of the weak Euler approximation for solutions to Lévy-driven stochastic differential equations with nondegenerate main part driven by a spherically symmetric stable process, under the assumption of Hölder continuity. The rate of convergence is derived for a full regularity scale based on solving the associated backward Kolmogorov equation and investigating the dependence of the rate on the regularity of the coefficients and driving processes.
Keywords: stochastic differential equations, Lévy processes, weak Euler approximation, rate of convergence, Hölder conditions.
Received: 06.01.2016
Revised: 13.09.2016
Accepted: 24.10.2017
English version:
Theory of Probability and its Applications, 2018, Volume 63, Issue 2, Pages 246–266
DOI: https://doi.org/10.1137/S0040585X97T989039
Bibliographic databases:
Document Type: Article
Language: English
Citation: R. Mikulevičius, Ch. Zhang, “Weak Euler scheme for Lévy-driven stochastic differential equations”, Teor. Veroyatnost. i Primenen., 63:2 (2018), 306–329; Theory Probab. Appl., 63:2 (2018), 246–266
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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