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    On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes

    Access Status
    Open access via publisher
    Authors
    Zhang, Changyong
    Mikulevičius, R.
    Date
    2011
    Type
    Journal Article
    
    Metadata
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    Citation
    Zhang, C. and Mikulevičius, R. 2011. On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes. Stochastic Processes and their Applications. 121 (8): pp. 1720-1748.
    Source Title
    Stochastic Processes and their Applications
    DOI
    10.1016/j.spa.2011.04.004
    ISSN
    0304-4149
    School
    CBS International
    URI
    http://hdl.handle.net/20.500.11937/32999
    Collection
    • Curtin Research Publications
    Abstract

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

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