Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Autor: | Jáquez, Luis Mario Chaparro, Issoglio, Elena, Palczewski, Jan |
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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 |
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