Weak euler scheme for lévy-driven stochastic differential equations

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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...

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Bibliographic Details
Main Authors:	Mikulevicius, R., Zhang, Changyong
Format:	Journal Article
Published:	TVP 2018
Online Access:	http://hdl.handle.net/20.500.11937/74847

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