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

Libo Li; Dai Taguchi

doi:10.1016/j.spl.2018.10.017

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

Libo Li, Dai Taguchi

Research output: Contribution to journal › Article

1 Citation (Scopus)

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
Pages (from-to)	15-26
Number of pages	12
Journal	Statistics and Probability Letters
Volume	146
DOIs	https://doi.org/10.1016/j.spl.2018.10.017
Publication status	Published - Mar 2019
Externally published	Yes

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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

Cite this

Li, L., & Taguchi, D. (2019). On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients. Statistics and Probability Letters, 146, 15-26. https://doi.org/10.1016/j.spl.2018.10.017

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KW - Spectrally positive Lévy process

KW - α-CIR models

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10.1016/j.spl.2018.10.017