On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs

R. Mikulevicius

Stochastic Processes and their Applications, 2012, vol. 122, issue 7, 2730-2757

Abstract: The paper studies the rate of convergence of a weak Euler approximation for solutions to possibly completely degenerate SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes and its robustness to the approximation of the increments of the driving process. A convergence rate is derived for some approximate jump-adapted Euler scheme as well.

Keywords: Parabolic integro-differential equations; Weak Euler scheme; Approximate and jump-adapted Euler schemes (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:7:p:2730-2757

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DOI: 10.1016/j.spa.2012.04.013

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