Weak convergence of Euler scheme for SDEs with singular drift
Probability
2020-05-12 v1
Abstract
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.
Cite
@article{arxiv.2005.04631,
title = {Weak convergence of Euler scheme for SDEs with singular drift},
author = {Yongqiang Suo and Chenggui Yuan and Shao-Qin Zhang},
journal= {arXiv preprint arXiv:2005.04631},
year = {2020}
}
Comments
12 pages