The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise
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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… read more here.
Keywords: euler maruyama; drift; method des; maruyama method ... See more keywords