著者
Hiroya Hashimoto Takahiro Tsuchiya
出版者
一般社団法人 日本応用数理学会
雑誌
JSIAM Letters (ISSN:18830609)
巻号頁・発行日
vol.5, pp.13-16, 2013 (Released:2013-03-06)
参考文献数
6
被引用文献数
1

In this paper, we consider Euler-Maruyama approximations for 1-dimensional stochastic differential equations (SDEs) driven by rotation invariant (i.e. symmetric) $\alpha$ stable processes and discuss their rate of strong convergence by numerical simulations. We also study the relationship between the convergence rate and the index $\alpha$ of rotation invariant stable process and/or the exponent $\gamma$ of the Hölder continuity of the diffusion coefficient.