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 |
| _version_ | 1848763388996354048 |
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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 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 full regularity scale based on solving the associated backward Kolmogorov equation and investigating the dependence of the rate on the regularity of the coefficients and driving processes. |
| first_indexed | 2025-11-14T11:02:41Z |
| format | Journal Article |
| id | curtin-20.500.11937-74847 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:02:41Z |
| publishDate | 2018 |
| publisher | TVP |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-748472019-07-24T03:31:08Z Weak euler scheme for lévy-driven stochastic differential equations Mikulevicius, R. Zhang, Changyong 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 full regularity scale based on solving the associated backward Kolmogorov equation and investigating the dependence of the rate on the regularity of the coefficients and driving processes. 2018 Journal Article http://hdl.handle.net/20.500.11937/74847 10.1137/S0040585X97T989039 TVP fulltext |
| spellingShingle | Mikulevicius, R. Zhang, Changyong Weak euler scheme for lévy-driven stochastic differential equations |
| title | Weak euler scheme for lévy-driven stochastic differential equations |
| title_full | Weak euler scheme for lévy-driven stochastic differential equations |
| title_fullStr | Weak euler scheme for lévy-driven stochastic differential equations |
| title_full_unstemmed | Weak euler scheme for lévy-driven stochastic differential equations |
| title_short | Weak euler scheme for lévy-driven stochastic differential equations |
| title_sort | weak euler scheme for lévy-driven stochastic differential equations |
| url | http://hdl.handle.net/20.500.11937/74847 |