F. Kühn

activity

20142023

most citedStrong convergence of the Euler--Maruyama approximation for a class of Lévy-driven SDEs

44 citations · 119 across the 10 of their papers we have counts for

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Showing 2017Show all

2 papers · 1 filter

math.PR2017★ 44 cited

Strong convergence of the Euler--Maruyama approximation for a class of Lévy-driven SDEs

Franziska Kühn, René L. Schilling

Consider the following stochastic differential equation (SDE) $d X_{t} = b (t, X_{t -}) d t + d L_{t}, X_{0} = x,$ driven by a $d$ -dimensional Lévy process $(L_{t})_{t \geq 0}$ . We est…

math.PR2017★ 21 cited

On Martingale Problems and Feller Processes

Franziska Kühn

Let $A$ be a pseudo-differential operator with negative definite symbol $q$ . In this paper we establish a sufficient condition such that the well-posedness of the $(A,C_c^{\infty}(…