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

DOI10.1016/j.spa.2012.04.013zbMath1247.60102arXiv1110.2473OpenAlexW1980054544MaRDI QIDQ432512

Remigijus Mikulevičius

Publication date: 4 July 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2473

zbMATH Keywords

stochastic differential equationconvergence rateLévy processjump-adapted Euler schemeparabolic integro-differential equationweak Euler scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Initial value problems for PDEs with pseudodifferential operators (35S10)

Related Items

Hellinger and total variation distance in approximating Lévy driven SDEs ⋮ On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes ⋮ Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures ⋮ Monte Carlo method for parabolic equations involving fractional Laplacian ⋮ Weak Euler Approximation for Itô Diffusion and Jump Processes

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