51 citations · 143 across the 18 of their papers we have counts for
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math.PR2011★ 15 cited
On the rate of convergence of simple and jump-adapted weak Euler schemes for Levy driven SDEs
R. Mikulevicius
The paper studies the rate of convergence of the weak Euler approximation for solutions to possibly completely degenerate SDEs driven by Levy processes, with Hoelder-continuous coe…
math.AP2011★ 15 cited
On the Cauchy problem for integro-differential operators in Hölder classes and the uniqueness of the martingale problem
R. Mikulevicius, H. Pragarauskas
The existence and uniqueness in Hölder spaces of solutions of the Cauchy problem to parabolic integro-differential equation of the order α\in(0,2) is investigated. The principal pa…
math.PR2011★ 21 cited
On the Rate of Convergence of Weak Euler Approximation for Nondegenerate SDEs Driven by Levy Processes
R. Mikulevicius, C. Zhang
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…