Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Weak euler scheme for lévy-driven stochastic differential equations

    75132.pdf (215.0Kb)
    Access Status
    Open access
    Authors
    Mikulevicius, R.
    Zhang, Changyong
    Date
    2018
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Mikulevicius, R. and Zhang, C. 2018. Weak euler scheme for lévy-driven stochastic differential equations. Theory of Probability and Its Applications. 63 (2): pp. 246-266.
    Source Title
    Theory of Probability and Its Applications
    DOI
    10.1137/S0040585X97T989039
    ISSN
    0040-585X
    Remarks

    Copyright © 2018 Society for Industrial and Applied Mathematics

    URI
    http://hdl.handle.net/20.500.11937/74847
    Collection
    • Curtin Research Publications
    Abstract

    This paper studies the rate of convergence of the weak Euler approximation for solutions to Lévy-driven stochastic differential equations with nondegenerate main part driven by a spherically symmetric stable process, under the assumption of Hölder continuity. The rate of convergence is derived for a full regularity scale based on solving the associated backward Kolmogorov equation and investigating the dependence of the rate on the regularity of the coefficients and driving processes.

    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.