Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations

DOI10.1137/S0040585X97T989039zbMath1414.60045OpenAlexW2898328801MaRDI QIDQ4961776

Changyong Zhang, Remigijus Mikulevičius

Publication date: 25 October 2018

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989039

zbMATH Keywords

rate of convergenceLévy processesstochastic differential equationsweak Euler approximationHölder conditions

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 (1)

Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation

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