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

Yanfang Li and Guohuan Zhao

Statistics & Probability Letters, 2024, vol. 215, issue C

Abstract: This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler–Maruyama scheme. We derive the Lp-error for a broad range of driven noises, including all nondegenerate α-stable processes (0<α<2).

Keywords: Stochastic differential equation; Lévy process; Euler–Maruyama scheme (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110220

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