On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes

Abstract

A SDE driven by an -stable process, with a Lipshitz continuous coefficient and a -Hölder drift is considered. The existence and uniqueness of a strong solution is proved when by showing that it is the -limit of Euler approximations. The -error (rate of convergence) is obtained for a nondegenerate truncated and nontruncated driving process. The rate in the case of Lipshitz continuous coefficients is derived as well.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 36 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.