On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes

Details On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes

2011-03-15

arxiv.org/abs/1103.2831v3

Mathematics

Probability

Scientific paper

10.1016/j.spa.2011.04.004

The paper studies the rate of convergence of the weak Euler approximation for
solutions to SDEs driven by Levy processes, with Hoelder-continuous
coefficients. It investigates the dependence of the rate on the regularity of
coefficients and driving processes. The equation considered has a
non-degenerate main part driven by a spherically-symmetric stable process.

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