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Published in 2018 at "Stochastic Analysis and Applications"
DOI: 10.1080/07362994.2017.1371037
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…
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Keywords:
euler maruyama;
drift;
method des;
maruyama method ... See more keywords