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: | , |
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| Format: | Journal Article |
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Taylor & Francis Inc.
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/45878 |
| Summary: | 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 stable processes. To estimate the rate of convergence, the existence of a unique solution to the corresponding backward Kolmogorov equation in Hölder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence. |
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