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ABSTRACT Consider the stochastic (functional) differential equations in with Hölder continuous drift driven by α-stable process satisfying (H1). Using Zvonkin type transformation, the convergence rate of Euler-Maruyama method is obtained.… Click to show full abstract
ABSTRACT Consider the stochastic (functional) differential equations in with Hölder continuous drift driven by α-stable process satisfying (H1). Using Zvonkin type transformation, the convergence rate of Euler-Maruyama method is obtained. The results are new, especially for the functional SDEs with irregular drift.
Keywords:
euler maruyama;
drift;
method des;
maruyama method
Journal Title: Stochastic Analysis and Applications
Year Published: 2018
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Journal Title: Stochastic Analysis and Applications
Year Published: 2018
Link to full text (if available)
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recommendations!