On the Euler-Maruyama scheme for spectrally one-sided L\'evy driven SDEs with H\"older continuous coefficients

Libo Li; Dai Taguchi

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arXiv · 1712.09220

On the Euler-Maruyama scheme for spectrally one-sided L\'evy driven SDEs with H\"older continuous coefficients

Libo Li·Dai Taguchi

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Abstract

We study in this article the strong rate of convergence of the Euler-Maruyama scheme and associated with the jump-type equation introduced in Li and Mytnik. We obtain the strong rate of convergence under similar assumptions for strong existence and pathwise uniqueness. Models of this type can be considered as a generalization of the CIR (Cox-Ingersoll-Ross) process with jumps.

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Libo Li, Dai Taguchi. 2017-12-26. On the Euler-Maruyama scheme for spectrally one-sided L\'evy driven SDEs with H\"older continuous coefficients. https://arxiv.org/abs/1712.09220

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