Euler–Maruyama scheme for SDE driven by Lévy process with Hölder drift
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DOI: 10.1016/j.spl.2024.110220
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References listed on IDEAS
- Ngo, Hoang-Long & Taguchi, Dai, 2017. "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 55-63.
- Jianhai Bao & Xing Huang & Chenggui Yuan, 2019. "Convergence Rate of Euler–Maruyama Scheme for SDEs with Hölder–Dini Continuous Drifts," Journal of Theoretical Probability, Springer, vol. 32(2), pages 848-871, June.
- Menoukeu Pamen, Olivier & Taguchi, Dai, 2017. "Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2542-2559.
- Kühn, Franziska & Schilling, René L., 2019. "Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2654-2680.
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Keywords
Stochastic differential equation; Lévy process; Euler–Maruyama scheme;All these keywords.
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