English

Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift

Analysis of PDEs 2025-12-18 v1 Probability

Abstract

We are interested in the Euler-Maruyama dicretization of the formal SDE, dXt=b(t,Xt)dt+dZtdX_t=b(t,X_t)dt+dZ_t, where ZZ is a symmetric isotropic d dimensional stable process of index α(1,2)\alpha\in (1,2), and bb is distributional. It belongs to a mix Lebesgue-Besov space. The associated parameters satisfy some constraints which guarantee weak-well posedness. Defining an appropriate Euler scheme, we obtain a convergence rate for the weak error on the densities. The rate depends on the parameters.

Keywords

Cite

@article{arxiv.2512.15299,
  title  = {Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift},
  author = {Mathis Fitoussi and Elena Issoglio and Stéphane Menozzi},
  journal= {arXiv preprint arXiv:2512.15299},
  year   = {2025}
}