Within a deterministic framework, it is well known that n-term wavelet approximation rates of functions can be deduced from their Besov regularity. We use this principle to determine approximation rates for symmetric-α-stable (SαS) stochastic processes. First, we characterize the Besov regularity of SαS processes. Then the n-term approximation rates follow. To capture the local smoothness behavior, we consider sparse processes defined on the circle that are solutions of stochastic differential equations.