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 |
| _version_ | 1848757406812602368 |
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| author | Mikulevicius, R. Zhang, Changyong |
| author_facet | Mikulevicius, R. Zhang, Changyong |
| author_sort | Mikulevicius, R. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:27:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-45878 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:27:36Z |
| publishDate | 2015 |
| publisher | Taylor & Francis Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-458782017-09-13T14:26:49Z Weak Euler Approximation for Ito Diffusion and Jump Processes Mikulevicius, R. Zhang, Changyong 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. 2015 Journal Article http://hdl.handle.net/20.500.11937/45878 10.1080/07362994.2015.1014102 Taylor & Francis Inc. restricted |
| spellingShingle | Mikulevicius, R. Zhang, Changyong Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title | Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title_full | Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title_fullStr | Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title_full_unstemmed | Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title_short | Weak Euler Approximation for Ito Diffusion and Jump Processes |
| title_sort | weak euler approximation for ito diffusion and jump processes |
| url | http://hdl.handle.net/20.500.11937/45878 |