On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
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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Volume (Year): 122 (2012)
Issue (Month): 7 ()
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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.
- Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
- Mikulevicius, Remigijus & Zhang, Changyong, 2011. "On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1720-1748, August.
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
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