On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes

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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...

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Bibliographic Details
Main Authors:	Zhang, Changyong, Mikulevičius, R.
Format:	Journal Article
Published:	2011
Online Access:	http://hdl.handle.net/20.500.11937/32999

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