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

zbMath1449.65006arXiv2002.02652MaRDI QIDQ3305897

Alexei M. Kulik, Tetyana Kosenkova, Ilya Pavlyukevitch

Publication date: 12 August 2020

Full work available at URL: https://arxiv.org/abs/2002.02652

zbMATH Keywords

Lévy processEuler schemeWong-Zakai approximationfirst order convergenceMarcus (canonical) stochastic differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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