Weak Euler Approximation for Ito Diffusion and Jump Processes

作者：Mikulevicius Remigijus; Zhang Changyong^*

来源：Stochastic Analysis and Applications, 2015, 33(3): 549-571.

DOI：10.1080/07362994.2015.1014102

• Holder conditions.
• Rate of convergence
• Weak Euler approximation
• Ito diffusion and jump processes
• Stochastic differential equations

This article studies the rate of convergence of the weak Euler approximation for Ito diffusion and jump processes with Holder-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 Holder space is first proved. It then shows that the Euler scheme yields positive weak order of convergence.

• 出版日期2015-5-4