Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients

DOI10.1007/978-3-319-00321-4_7zbMath1281.60062arXiv1110.2528OpenAlexW3173312509MaRDI QIDQ2865107

Hiroya Hashimoto

Publication date: 28 November 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2528

zbMATH Keywords

Euler-Maruyama approximationstability of solutionsymmetric \(\alpha\) stable process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (7)

Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness ⋮ On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients ⋮ \(L^{\alpha -1}\) distance between two one-dimensional stochastic differential equations driven by a symmetric \(\alpha \)-stable process ⋮ Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs ⋮ On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case ⋮ Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs ⋮ Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes

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