Euler-Maruyama scheme for SDE driven by Lévy process with Hölder drift (2304.13952v1)

Published 27 Apr 2023 in math.PR and math.AP

Abstract: This study focuses on approximating solutions to SDEs driven by L\'evy processes with H\"older continuous drifts using the Euler-Maruyama scheme. We derive the $L^p$-error for a broad range of driven noises, including all nondegenerate $\alpha$-stable processes ($0<\alpha<2$).

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