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dc.contributor.authorZhang, Changyong
dc.contributor.authorMikulevičius, R.
dc.date.accessioned2017-01-30T13:34:25Z
dc.date.available2017-01-30T13:34:25Z
dc.date.created2017-01-16T19:30:22Z
dc.date.issued2011
dc.identifier.citationZhang, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/32999
dc.identifier.doi10.1016/j.spa.2011.04.004
dc.description.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.

dc.titleOn the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
dc.typeJournal Article
dcterms.source.volume121
dcterms.source.number8
dcterms.source.startPage1720
dcterms.source.endPage1748
dcterms.source.issn0304-4149
dcterms.source.titleStochastic Processes and their Applications
curtin.departmentCBS International
curtin.accessStatusOpen access via publisher


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