Abstract:
This paper studies the rate of convergence of the weak Euler approximation for
solutions to Lévy-driven stochastic differential equations with
nondegenerate main part driven by a spherically symmetric stable process, under
the assumption of Hölder continuity. The rate of convergence is derived for
a full regularity scale based on solving the associated backward Kolmogorov
equation and investigating the dependence of the rate on the regularity of the
coefficients and driving processes.