On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenera...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/32999 |
| _version_ | 1848753823247499264 |
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| author | Zhang, Changyong Mikulevičius, R. |
| author_facet | Zhang, Changyong Mikulevičius, R. |
| author_sort | Zhang, Changyong |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process. |
| first_indexed | 2025-11-14T08:30:38Z |
| format | Journal Article |
| id | curtin-20.500.11937-32999 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:30:38Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-329992017-09-13T15:27:13Z On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes Zhang, Changyong Mikulevičius, R. The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process. 2011 Journal Article http://hdl.handle.net/20.500.11937/32999 10.1016/j.spa.2011.04.004 unknown |
| spellingShingle | Zhang, Changyong Mikulevičius, R. On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title_full | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title_fullStr | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title_full_unstemmed | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title_short | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes |
| title_sort | on the rate of convergence of weak euler approximation for nondegenerate sdes driven by lévy processes |
| url | http://hdl.handle.net/20.500.11937/32999 |