Weak Euler Approximation for Itô Diffusion and Jump Processes

DOI10.1080/07362994.2015.1014102zbMath1317.60100arXiv1007.2914OpenAlexW2012049996MaRDI QIDQ5256274

Changyong Zhang, Remigijus Mikulevičius

Publication date: 22 June 2015

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

Full work available at URL: https://arxiv.org/abs/1007.2914

zbMATH Keywords

rate of convergencestochastic differential equationsjump processesstable processesweak Euler approximationHölder conditionsItō diffusion processes

Mathematics Subject Classification ID

Related Items (4)

Transition density estimates for diagonal systems of SDEs driven by cylindrical $\alpha$-stable processes ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures ⋮ The Girsanov Theorem Without (So Much) Stochastic Analysis ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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