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

Remigijus Mikulevicius and Changyong Zhang

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1720-1748

Abstract: The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process.

Keywords: Levy; processes; Stochastic; differential; equations; Weak; Euler; approximation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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