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Weak Euler Approximation for Ito Diffusion and Jump Processes
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
2015 (English)In: Stochastic Analysis and Applications, ISSN 0736-2994, E-ISSN 1532-9356, Vol. 33, no 3, 549-571 p.Article in journal (Refereed) Published
Abstract [en]

This article studies the rate of convergence of the weak Euler approximation for Itô diffusion and jump processes with Hölder-continuous generators. It covers a number of stochastic processes including the nondegenerate diffusion processes and a class of stochastic differential equations driven by stable processes. To estimate the rate of convergence, the existence of a unique solution to the corresponding backward Kolmogorov equation in Hölder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.

Place, publisher, year, edition, pages
2015. Vol. 33, no 3, 549-571 p.
National Category
Mathematical Analysis
URN: urn:nbn:se:uu:diva-230177DOI: 10.1080/07362994.2015.1014102ISI: 000353416000010OAI: oai:DiVA.org:uu-230177DiVA: diva2:739062
Available from: 2014-08-19 Created: 2014-08-19 Last updated: 2016-02-17Bibliographically approved

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