Weak Euler Approximation for Ito Diffusion and Jump Processes
This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and jump processes with Hölder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion processes and a class of stochastic differential equations driven by s...
| Main Authors: | , |
|---|---|
| Format: | Journal Article |
| Published: |
Taylor & Francis Inc.
2015
|
| Online Access: | http://hdl.handle.net/20.500.11937/45878 |