On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes

Details On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes

2010-07-17

arxiv.org/abs/1007.2914v2

Mathematics

Probability

Scientific paper

The paper studies the rate of convergence of the weak Euler approximation for Markov processes with H\"{o}lder-continuous generators. The main part of the jump intensity measure has a nondegenerate density with respect to the L\'{e}vy measure of a spherically-symmetric stable process. It covers a variety of stochastic processes including the nondegenerate diffusions and a class of SDEs driven by spherically-symmetric stable processes. To estimate the rate of convergence of the weak Euler approximation, the existence of a unique solution to the corresponding backward Kolmogorov equation in H\"{o}lder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.

Affiliated with

Also associated with

No associations

Rating

On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-658879