{"title":"Euler–Maruyama scheme for SDE driven by Lévy process with Hölder drift","authors":"Yanfang Li, Guohuan Zhao","doi":"10.1016/j.spl.2024.110220","DOIUrl":null,"url":null,"abstract":"<div><p>This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler–Maruyama scheme. We derive the <span><math><msup><mrow><mi>L</mi></mrow><mrow><mi>p</mi></mrow></msup></math></span>-error for a broad range of driven noises, including all nondegenerate <span><math><mi>α</mi></math></span>-stable processes (<span><math><mrow><mn>0</mn><mo><</mo><mi>α</mi><mo><</mo><mn>2</mn></mrow></math></span>).</p></div>","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167715224001895","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This study focuses on approximating solutions to SDEs driven by Lévy processes with Hölder continuous drifts using the Euler–Maruyama scheme. We derive the -error for a broad range of driven noises, including all nondegenerate -stable processes ().
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