Convergence rate of EM algorithm for SDEs under integrability condition

Autor:	Bao, Jianhai, Huang, Xing, Zhang, Shao-Qin
Rok vydání:	2020
Předmět:	Mathematics - Probability Mathematics - Numerical Analysis 60H10 34K26 39B72
Druh dokumentu:	Working Paper
Popis:	In this paper, by employing Gaussian type estimate of heat kernel, we establish Krylov's estimate and Khasminskill's estimate for EM algorithm. As applications, by taking Zvonkin's transformation into account, we investigate convergence rate of EM algorithm for a class of multidimensional SDEs under integrability conditions, where the drifts need not to be piecewise Lipschitz and are much more singular in some sense.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2009.04781 Zobrazit plný text záznamu View this record from Arxiv