Weak convergence of Euler scheme for SDEs with singular drift

Autor:	Suo, Yongqiang, Yuan, Chenggui, Zhang, Shao-Qin
Rok vydání:	2020
Předmět:	Mathematics - Probability 60H10 34K26 65C30
Druh dokumentu:	Working Paper
Popis:	In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space. Comment: 12 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2005.04631 Zobrazit plný text záznamu View this record from Arxiv