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    Weak Euler Approximation for Ito Diffusion and Jump Processes

    Access Status
    Fulltext not available
    Authors
    Mikulevicius, R.
    Zhang, Changyong
    Date
    2015
    Type
    Journal Article
    
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    Citation
    Mikulevicius, R. and Zhang, C. 2015. Weak Euler Approximation for Ito Diffusion and Jump Processes. Stochastic Analysis and Applications. 33 (3): pp. 549-571.
    Source Title
    Stochastic Analysis and Applications
    DOI
    10.1080/07362994.2015.1014102
    ISSN
    0736-2994
    School
    CBS International
    URI
    http://hdl.handle.net/20.500.11937/45878
    Collection
    • Curtin Research Publications
    Abstract

    This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and jump processes with Hölder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion processes and a class of stochastic differential equations driven by stable processes. To estimate the rate of convergence, the existence of a unique solution to the corresponding backward Kolmogorov equation in Hölder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.

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