Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures (Q6204777)

scientific article; zbMATH DE number 7826588

Language	Label	Description	Also known as
English	Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures	scientific article; zbMATH DE number 7826588

Statements

instance of

scholarly article

0 references

title

Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures (English)

0 references

author

Remigijus Mikulevičius

0 references

Changyong Zhang

0 references

published in

Journal of Theoretical Probability

0 references

publication date

2 April 2024

0 references

zbMATH Keywords

stochastic differential equations

0 references

point measure

0 references

martingale measure

0 references

weak Euler approximation

0 references

rate of convergence

0 references

Hölder conditions

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1007/s10959-023-01260-x

0 references

cites work

The Cauchy problem and the martingale problem for integro-differential operators with non-smooth kernels

0 references

Lévy Processes and Stochastic Calculus

0 references

Q2716350

0 references

A stochastic approximation for fully nonlinear free boundary parabolic problems

0 references

Regularity of the Optimal Stopping Problem for Jump Diffusions

0 references

Q4888858

0 references

The Pricing of Options and Corporate Liabilities

0 references

On dams with additive inputs and a general release rule

0 references

Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise

0 references

On the weak approximation of a skew diffusion by an Euler-type scheme

0 references

Elliptic partial differential equations of second order

0 references

Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities

0 references

Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme

0 references

Finite Element Approximation of Stochastic Partial Differential Equations driven by Poisson Random Measures of Jump Type

0 references

A numerical approximation of parabolic stochastic partial differential equations driven by a Poisson random measure

0 references

The Euler scheme for Lévy driven stochastic differential equations: limit theorems.

0 references

The approximate Euler method for Lévy driven stochastic differential equations

0 references

Value function regularity in option pricing problems under a pure jump model

0 references

Q4004325

0 references

Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

0 references

Optimal simulation schemes for Lévy driven stochastic differential equations

0 references

Jump-adapted discretization schemes for Lévy-driven SDEs

0 references

On the martingale problem for generators of stable processes with perturbations

0 references

Weak error for stable driven stochastic differential equations: expansion of the densities

0 references

Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients

0 references

First order convergence of weak Wong--Zakai approximations of L\'evy driven Marcus SDEs

0 references

Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise. II: Fully discrete schemes

0 references

Weak Convergence of Finite Element Approximations of Linear Stochastic Evolution Equations with Additive Lévy Noise

0 references

Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

0 references

Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs

0 references

Transition density estimates for diagonal systems of SDEs driven by cylindrical $\alpha$-stable processes

0 references

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

0 references

Weak order for the discretization of the stochastic heat equation driven by impulsive noise

0 references

Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient

0 references

On some non asymptotic bounds for the Euler scheme

0 references

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

0 references

Rate of Convergence of the Euler Approximation for Diffusion Processes

0 references

On the martingale problem associated with nondegenerate Lévy operators

0 references

On Hölder solutions of the integro-differential Zakai equation

0 references

On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem

0 references

On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes

0 references

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

0 references

Weak Euler Approximation for Itô Diffusion and Jump Processes

0 references

Q4172725

0 references

Q3702223

0 references

Q4938228

0 references

Numerical solution of stochastic differential equations with jumps in finance

0 references

The Euler scheme for Lévy driven stochastic differential equations

0 references

Weak convergence of finite element method for stochastic elastic equation driven by additive noise

0 references

Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.

0 references

Q4937701

0 references

Q3331110

0 references

Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution

0 references

Q4003552

0 references

Weak convergence analysis of the linear implicit Euler method for semilinear stochastic partial differential equations with additive noise

0 references

Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs

0 references

Identifiers

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

10.1007/S10959-023-01260-X

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6204777