On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients

Libo Li and Dai Taguchi

Statistics & Probability Letters, 2019, vol. 146, issue C, 15-26

Abstract: We study in this article the strong rate of convergence of the Euler–Maruyama scheme and associated with the jump-type equation introduced in Li and Mytnik (2011). We obtain the strong rate of convergence under similar assumptions for strong existence and pathwise uniqueness. Models of this type can be considered as a generalization of the CIR (Cox–Ingersoll–Ross) process with jumps.

Keywords: Euler–Maruyama scheme; α-CIR models; Lévy driven SDEs; Hölder continuous coefficients; Spectrally positive Lévy process (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.10.017

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