On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes

Abstract

The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Levy processes, with Hoelder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a non-degenerate main part driven by a spherically-symmetric stable process.

References in corpus (4)

• Schauder estimates for a class of non-local elliptic equations
• On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
• On the Rate of Convergence of Weak Euler Approximation for Nondegenerate Itô Diffusion and Jump Processes
• On the rate of convergence of weak Euler approximation for non-degenerate SDEs

Cited by in corpus (4)

• On the rate of convergence of simple and jump-adapted weak Euler schemes for Levy driven SDEs
• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
• First order convergence of weak Wong--Zakai approximations of Lévy driven Marcus SDEs
• Hellinger and total variation distance in approximating L{é}vy driven SDEs