Weak Euler Approximation for Ito Diffusion and Jump Processes
MetadataShow full item record
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.
Showing items related by title, author, creator and subject.
Kirby, Nigel Matthew (2003)The widespread use of high temperature superconductors through improved understanding of their underlying physics is in part dependent on the synthesis of large, high quality single crystals for physical research. Crucible ...
A grounded theory study of the clinical use of the nursing process within selected hospital settings.O'Connell, Beverly O. (1997)The nursing process is the espoused problem solving framework that forms the basis of the way in which patient care is determined, delivered, and communicated in a multiplicity of health care settings. Although its use ...
de V. Groenewald, J.; Coetzer, L.; Aldrich, Chris (2006)With the increasing availability of large amounts of real-time process data and a better fundamental understanding of the operation of mineral processing units, statistical monitoring of mineral processing plants is ...