Geodesic
Weak Euler scheme for Lévy-driven stochastic differential equations
Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 2, pp. 306-329 Cet article a éte moissonné depuis la source Math-Net.Ru

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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.
Keywords: stochastic differential equations, weak Euler approximation, rate of convergence
Mots-clés : Lévy processes, Hölder conditions. 
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R. Mikulevičius; Ch. Zhang. Weak Euler scheme for Lévy-driven stochastic differential equations. Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 2, pp. 306-329. http://geodesic.mathdoc.fr/item/TVP_2018_63_2_a4/

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