On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
The paper studies the rate of convergence of the weak Euler approximation for solutions to SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes. The equation considered has a nondegenerate main part driven by a spherically symmetric stable process.
Volume (Year): 121 (2011)
Issue (Month): 8 (August)
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References listed on IDEAS
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- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, October.
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kestutis Kubilius & Eckhard Platen, 2001.
"Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps,"
Research Paper Series
54, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kubilius Kestutis & Platen Eckhard, 2002. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 8(1), pages 83-96, December.
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