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arXiv · 1110.2473

On the rate of convergence of simple and jump-adapted weak Euler schemes for Levy driven SDEs

R. Mikulevicius
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Abstract

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 coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. In addition, the rate robustness to the approximation of the increments of the driving process is studied and approximate Euler scheme considered. A rate of convergence is derived for an approximate jump-adapted scheme as well.

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R. Mikulevicius. 2012-05-11. On the rate of convergence of simple and jump-adapted weak Euler schemes for Levy driven SDEs. https://doi.org/10.1016/j.spa.2012.04.013

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