Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift
Probability
2024-05-15 v1
Abstract
We are interested in the discretization of stable driven SDEs with additive noise for (1, 2) and Lq -- Lp drift under the Serrin type condition /q + d/p < -- 1. We show weak existence and uniqueness as well as heat kernel estimates for the SDE and obtain a convergence rate of order (1/)*( -- 1 -- /q - d/p) for the difference of the densities for the Euler scheme approximation involving suitably cutoffed and time randomized drifts.
Keywords
Cite
@article{arxiv.2405.08378,
title = {Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift},
author = {Mathis Fitoussi and Benjamin Jourdain and Stéphane Menozzi},
journal= {arXiv preprint arXiv:2405.08378},
year = {2024}
}