On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients

Libo Li, Dai Taguchi

Research output: Contribution to journalArticlepeer-review

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 [13]. 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.

60H35; 41A25; 60H10; 65C30

60H35, 41A25, 60H10, 65C30

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Dec 26 2017
Externally publishedYes

Keywords

  • Euler-Maruyama scheme
  • Hölder continuous coefficients
  • Lévy driven SDEs
  • Spectrally positive Lévy process
  • α-CIR models

ASJC Scopus subject areas

  • General

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