On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
type: Item
instance of: scholarly article
title: On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
zbMATH Open document ID: 1247.60102
published in: Stochastic Processes and their Applications
publication date: 2012-07-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/1110.2473
review text: The paper studies the weak Euler approximation for solutions of possibly completely degenerate SDEs driven by Lévy processes. In order to obtain the rate of convergence, some of the main tools are the backward Kolmogorov equation, Itô's formula as well as one-step approximations. The SDEs under consideration have Hölder-continuous coefficients. The author investigates the dependence of the rate on the regularity of coefficients and driving processes and its robustness to the approximation of the increments of the driving process. A convergence rate is derived for some approximate jump-adapted Euler scheme as well.
reviewed by: Alexander Schnurr
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 35S10
zbMATH DE Number: 6052942
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: parabolic integro-differential equation
zbMATH Keywords: weak Euler scheme
zbMATH Keywords: jump-adapted Euler scheme
zbMATH Keywords: Lévy process
zbMATH Keywords: convergence rate
author: R. Mikulevicius
MaRDI profile type: Publication
OpenAlex ID: W1980054544
arXiv ID: 1110.2473
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DOI: 10.1016/J.SPA.2012.04.013
description: scientific article; zbMATH DE number 6052942