On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
A SDE driven by an -stable process, with a Lipshitz continuous coefficient and a -Hölder drift is considered. The existence and uniqueness of a strong solution is proved when by showing that it is the -limit of Euler approximations. The -error (rate of convergence) is obtained for a nondegenerate truncated …