Back to Search
Start Over
On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients.
- Source :
-
Statistics & Probability Letters . Mar2019, Vol. 146, p15-26. 12p. - Publication Year :
- 2019
-
Abstract
- Abstract We study in this article the strong rate of convergence of the Euler–Maruyama scheme and associated with the jump-type equation introduced in Li and Mytnik (2011). We obtain the strong rate of convergence under similar assumptions for strong existence and pathwise uniqueness. Models of this type can be considered as a generalization of the CIR (Cox–Ingersoll–Ross) process with jumps. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 146
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 133786986
- Full Text :
- https://doi.org/10.1016/j.spl.2018.10.017