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

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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.