A discretized version of Krylov's estimate and its applications
Probability
2019-11-11 v2
Abstract
In this paper we prove a discretized version of Krylov's estimate for discretized It\^o's processes. As applications, we study the weak and strong convergences for Euler's approximation of mean-field SDEs with measurable discontinuous and linear growth coefficients. Moreover, we also show the propagation of chaos for Euler's approximation of mean-field SDEs.
Cite
@article{arxiv.1909.09976,
title = {A discretized version of Krylov's estimate and its applications},
author = {Xicheng Zhang},
journal= {arXiv preprint arXiv:1909.09976},
year = {2019}
}
Comments
16pages