Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space

Autor: Jáquez, Luis Mario Chaparro, Issoglio, Elena, Palczewski, Jan
Rok vydání: 2023
Předmět:
Druh dokumentu: Working Paper
Popis: This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function, in particular belonging to the Holder-Zygmund space $C^{-\gamma}$ of negative order $-\gamma<0$ in the spacial variable. We design an Euler-Maruyama numerical scheme and prove its convergence, obtaining an upper bound for the strong $L^1$ convergence rate. We finally implement the scheme and discuss the results obtained.
Comment: 20 pages, 3 figures
Databáze: arXiv