Strong uniform Wong–Zakai approximations of Lévy-driven Marcus SDEs

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Authors: Ilya Pavlyukevich, Sooppawat Thipyarat
Cited by: 0
References: 32

Abstract

For the solution X of a Lévy-driven d-dimensional Marcus (canonical) stochastic differential equation, we prove that the Wong–Zakai approximation scheme Xh converges strongly with order 12. More precisely, for any T∈[0,∞) there exists a constant CT∈(0,∞) such that Esupkh∈[0,T]|Xkh(x)−Xkhh(x)|≤CTh12(1+|x|),h→0, for all x∈Rd. We also establish the rate of locally uniform strong convergence: for every T∈[0,∞) and any N∈(0,∞) there exists a constant CT,N∈(0,∞) such that Esup|x|≤Nsupkh∈[0,T]|Xkh(x)−Xkhh(x)|≤CT,Nh1−ε4d,h→0.

Fields of Study & Subjects

Stochastic processes and financial applications Economic theories and models

Publication details

Journal / source
Stochastic Analysis and Applications
Publisher
Informa UK Limited
Volume
44
Issue
4
Pages
476–498
Publication date
25 May 2026
Language
EN