Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift

Abstract

This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler-Maruyama scheme. We derive the $L^p$-error for a broad range of driven noises, including all nondegenerate $\alpha$-stable processes ($0<\alpha <2$).