On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes

DOI10.1016/j.spa.2011.04.004zbMath1221.60101arXiv1103.2831OpenAlexW2068002106MaRDI QIDQ555019

Remigijus Mikulevičius, Changyong Zhang

Publication date: 22 July 2011

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

Full work available at URL: https://arxiv.org/abs/1103.2831

zbMATH Keywords

Lévy processesstochastic differential equationsweak Euler approximation

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 (12)

Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient ⋮ Transition density estimates for diagonal systems of SDEs driven by cylindrical $\alpha$-stable processes ⋮ Value function regularity in option pricing problems under a pure jump model ⋮ Hellinger and total variation distance in approximating Lévy driven SDEs ⋮ Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness ⋮ On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures ⋮ On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs ⋮ On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients ⋮ Weak Convergence of Finite Element Approximations of Linear Stochastic Evolution Equations with Additive Lévy Noise ⋮ Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations ⋮ Weak Euler Approximation for Itô Diffusion and Jump Processes

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