Geodesic
Weak Euler scheme for L\'evy-driven stochastic differential equations
Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 2, pp. 306-329

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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, Lévy processes, weak Euler approximation, rate of convergence, Hölder conditions. 
@article{TVP_2018_63_2_a4,
     author = {R. Mikulevi\v{c}ius and Ch. Zhang},
     title = {Weak {Euler} scheme for {L\'evy-driven} stochastic differential equations},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {306--329},
     publisher = {mathdoc},
     volume = {63},
     number = {2},
     year = {2018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2018_63_2_a4/}
}
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R. Mikulevičius; Ch. Zhang. Weak Euler scheme for L\'evy-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/