On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs |
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Authors: | R. Mikulevicius |
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Affiliation: | University of Southern California, Los Angeles, CA, United States |
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Abstract: | The paper studies the rate of convergence of a weak Euler approximation for solutions to possibly completely degenerate SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes and its robustness to the approximation of the increments of the driving process. A convergence rate is derived for some approximate jump-adapted Euler scheme as well. |
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Keywords: | primary 60J75 60J60 60H30 45K05 35S10 |
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