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, , where is a symmetric isotropic d dimensional stable process of index , and 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}
}