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.
Original language | English |
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Pages (from-to) | 15-26 |
Number of pages | 12 |
Journal | Statistics and Probability Letters |
Volume | 146 |
DOIs | |
Publication status | Published - Mar 2019 |
Externally published | Yes |
Keywords
- Euler–Maruyama scheme
- Hölder continuous coefficients
- Lévy driven SDEs
- Spectrally positive Lévy process
- α-CIR models
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty