Euler-Maruyama scheme for SDE driven by L\'evy process with H\"older drift

Abstract

This study focuses on approximating solutions to SDEs driven by L\'evy processes with H\"older continuous drifts using the Euler-Maruyama scheme. We derive the $L^p$-error for a broad range of driven noises, including all nondegenerate $\alpha$-stable processes ($0<\alpha<2$).