Weak euler scheme for lévy-driven stochastic differential equations
This paper studies the rate of convergence of the weak Euler approximation for solutions to Lévy-driven stochastic differential equations with nondegenerate main part driven by a spherically symmetric stable process, under the assumption of Hölder continuity. The rate of convergence is derived for a...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
TVP
2018
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| Online Access: | http://hdl.handle.net/20.500.11937/74847 |