Weak euler scheme for lévy-driven stochastic differential equations
dc.contributor.author | Mikulevicius, R. | |
dc.contributor.author | Zhang, Changyong | |
dc.date.accessioned | 2019-02-19T04:18:17Z | |
dc.date.available | 2019-02-19T04:18:17Z | |
dc.date.created | 2019-02-19T03:58:31Z | |
dc.date.issued | 2018 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/74847 | |
dc.identifier.doi | 10.1137/S0040585X97T989039 | |
dc.description.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. | |
dc.publisher | TVP | |
dc.title | Weak euler scheme for lévy-driven stochastic differential equations | |
dc.type | Journal Article | |
dcterms.source.volume | 63 | |
dcterms.source.number | 2 | |
dcterms.source.startPage | 246 | |
dcterms.source.endPage | 266 | |
dcterms.source.issn | 0040-585X | |
dcterms.source.title | Theory of Probability and Its Applications | |
curtin.note |
Copyright © 2018 Society for Industrial and Applied Mathematics | |
curtin.accessStatus | Open access |