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The Convergenceof an Euler Approximation of an Initial ValueProblemIs Not Always Obvious
Euler Approximation Initial ValueProblemIs Not Always Obvious
2015/8/26
The Convergenceof an Euler Approximation of an Initial ValueProblemIs Not Always Obvious.
On the rate of convergence of weak Euler approximation for non-degenerate SDEs
L´ evy processes stochastic differential equations
2010/9/1
The paper estimates the rate of convergence of the weak Euler approximation for solutions to SDEs driven by point and martingale measures, with H¨older continuous coefficients. The equation considered...