Mikulevicius, R. - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2730-2757
The paper studies the rate of convergence of a weak Euler approximation for solutions to possibly completely degenerate SDEs driven by Lévy processes, with Hölder-continuous coefficients. It investigates the dependence of the rate on the regularity of coefficients and driving processes and its...