Euler–Maruyama scheme for SDE driven by Lévy process with Hölder drift

Euler–Maruyama scheme for SDE driven by Lévy process with Hölder drift

This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler–Maruyama scheme. We derive the Lp-error for a broad range of driven noises, including all nondegenerate α-stable processes (0

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Veröffentlicht in:Statistics & probability letters 2024-12, Vol.215, p.110220, Article 110220
Hauptverfasser: Li, Yanfang, Zhao, Guohuan
Format: Artikel
Sprache:eng
Schlagworte:
Euler–Maruyama scheme
Lévy process
Stochastic differential equation
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Zusammenfassung:This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler–Maruyama scheme. We derive the Lp-error for a broad range of driven noises, including all nondegenerate α-stable processes (0
ISSN:0167-7152
DOI:10.1016/j.spl.2024.110220