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arXiv · 2304.13952

Euler-Maruyama scheme for SDE driven by L\'evy process with H\"older drift

Yanfang Li·Guohuan Zhao
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Abstract

This study focuses on approximating solutions to SDEs driven by L\'evy processes with H\"older continuous drifts using the Euler-Maruyama scheme. We derive the $L^p$-error for a broad range of driven noises, including all nondegenerate $\alpha$-stable processes ($0<\alpha<2$).

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Yanfang Li, Guohuan Zhao. 2023-04-27. Euler-Maruyama scheme for SDE driven by L\'evy process with H\"older drift. https://arxiv.org/abs/2304.13952

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