Abstract
For the solution (Formula presented.) of a Lévy-driven (Formula presented.) -dimensional Marcus (canonical) stochastic differential equation, we prove that the Wong–Zakai approximation scheme (Formula presented.) converges strongly with order (Formula presented.). More precisely, for any (Formula presented.) there exists a constant (Formula presented.) such that (Formula presented.) for all (Formula presented.). We also establish the rate of locally uniform strong convergence: for every (Formula presented.) and any (Formula presented.) there exists a constant (Formula presented.) such that (Formula presented.).
| Original language | English |
|---|---|
| Pages (from-to) | 476-498 |
| Number of pages | 23 |
| Journal | Stochastic Analysis and Applications |
| Volume | 44 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2026 |
Keywords
- convergence rate
- Lévy process
- Marcus (canonical) stochastic differential equation
- strong approximation theorem
- Wong–Zakai approximation
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