TY - JOUR
T1 - On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
AU - Li, Libo
AU - Taguchi, Dai
N1 - Funding Information:
The second author was supported by JSPS KAKENHI Grant Numbers 16J00894 and 17H06833 .
Publisher Copyright:
© 2018 Elsevier B.V.
PY - 2019/3
Y1 - 2019/3
N2 - 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.
AB - 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.
KW - Euler–Maruyama scheme
KW - Hölder continuous coefficients
KW - Lévy driven SDEs
KW - Spectrally positive Lévy process
KW - α-CIR models
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U2 - 10.1016/j.spl.2018.10.017
DO - 10.1016/j.spl.2018.10.017
M3 - Article
AN - SCOPUS:85056877405
VL - 146
SP - 15
EP - 26
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
SN - 0167-7152
ER -