On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
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.
scientific article; zbMATH DE number 6052942
scientific article