English

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 α\alpha \in (1, 2) and Lq -- Lp drift under the Serrin type condition α\alpha/q + d/p < α\alpha -- 1. We show weak existence and uniqueness as well as heat kernel estimates for the SDE and obtain a convergence rate of order (1/α\alpha)*(α\alpha -- 1 -- α\alpha/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}
}
R2 v1 2026-06-28T16:26:31.054Z