On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
| dc.contributor.author | Zhang, Changyong | |
| dc.contributor.author | Mikulevičius, R. | |
| dc.date.accessioned | 2017-01-30T13:34:25Z | |
| dc.date.available | 2017-01-30T13:34:25Z | |
| dc.date.created | 2017-01-16T19:30:22Z | |
| dc.date.issued | 2011 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/32999 | |
| dc.identifier.doi | 10.1016/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.title | On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes | |
| dc.type | Journal Article | |
| dcterms.source.volume | 121 | |
| dcterms.source.number | 8 | |
| dcterms.source.startPage | 1720 | |
| dcterms.source.endPage | 1748 | |
| dcterms.source.issn | 0304-4149 | |
| dcterms.source.title | Stochastic Processes and their Applications | |
| curtin.department | CBS International | |
| curtin.accessStatus | Open access via publisher |
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