Weak Euler Approximation for Ito Diffusion and Jump Processes

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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...

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Bibliographic Details
Main Authors:	Mikulevicius, R., Zhang, Changyong
Format:	Journal Article
Published:	Taylor & Francis Inc. 2015
Online Access:	http://hdl.handle.net/20.500.11937/45878

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