Weak euler scheme for lévy-driven stochastic differential equations

Abstract

© 2018 Society for Industrial and Applied Mathematics. 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.