APPROXIMATIONS FOR JUMP-DIFFUSION PROCESSES WITH NON-LIPSCHITZIAN COEFFICIENTS

  • Hong, Do-Won (Department of Mathematics, Korea University) ;
  • Wee, In-Suk (Department of Mathematics, Korea University)
  • Published : 1998.11.01

Abstract

In this work, we consider Euler approxiamtion for one-dimensional jump-diffusion processes under Yamada-Watanabe type conditions on the coefficients which turns out to converge to the strong solution in uniform $L^1$-sense.