Approximations for jump-diffusion processes with non-Lipschitzian coefficients
Bull. Korean Math. Soc. 1998 Vol. 35, No. 4, 837-844
Do-Won Hong and In-Suk Wee Korea University, Korea University
Abstract : In this work, we consider Euler approximation 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.