First order convergence of weak Wong--Zakai approximations of Lévy driven Marcus SDEs

Tetyana Kosenkova, Alexei Kulik, Ilya Pavlyukevich

For solutions $X=(X_t{)}_{t\in [0,T]}$ of Lévy-driven Marcus stochastic differential equations we study the Wong--Zakai type time discrete approximations $\bar X=(\bar X_{kh})_{0\leq…