On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes

R. Mikulevicius; C. Zhang

doi:10.1016/j.spa.2011.04.004

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arXiv · 1103.2831

On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes

R. Mikulevicius·C. Zhang

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Abstract

The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Levy processes, with Hoelder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a non-degenerate main part driven by a spherically-symmetric stable process.

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R. Mikulevicius, C. Zhang. 2011-08-19. On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes. https://doi.org/10.1016/j.spa.2011.04.004

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