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dc.contributor.authorMikulevicius, R.
dc.contributor.authorZhang, Changyong
dc.date.accessioned2017-01-30T15:23:57Z
dc.date.available2017-01-30T15:23:57Z
dc.date.created2016-02-28T19:30:29Z
dc.date.issued2015
dc.identifier.citationMikulevicius, R. and Zhang, C. 2015. Weak Euler Approximation for Ito Diffusion and Jump Processes. Stochastic Analysis and Applications. 33 (3): pp. 549-571.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/45878
dc.identifier.doi10.1080/07362994.2015.1014102
dc.description.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.

dc.publisherTaylor & Francis Inc.
dc.titleWeak Euler Approximation for Ito Diffusion and Jump Processes
dc.typeJournal Article
dcterms.source.volume33
dcterms.source.number3
dcterms.source.startPage549
dcterms.source.endPage571
dcterms.source.issn0736-2994
dcterms.source.titleStochastic Analysis and Applications
curtin.departmentCBS International
curtin.accessStatusFulltext not available


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