Journal article 651 views 81 downloads
Weak convergence of Euler scheme for SDEs with low regular drift
YONGQIANG SUO,
Chenggui Yuan 
,
Shao-Qin Zhang
,
Shao-Qin Zhang
Numerical Algorithms, Volume: 90, Issue: 2, Pages: 731 - 747
Swansea University Authors:
YONGQIANG SUO, Chenggui Yuan
-
PDF | Accepted Manuscript
Download (309.68KB)
DOI (Published version): 10.1007/s11075-021-01206-6
Abstract
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piece...
| Published in: | Numerical Algorithms |
|---|---|
| ISSN: | 1017-1398 1572-9265 |
| Published: |
Springer Science and Business Media LLC
2022
|
| Online Access: |
Check full text
|
| URI: | https://cronfa.swan.ac.uk/Record/cronfa58372 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Abstract: |
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in some fractional Sobolev space. |
|---|---|
| Keywords: |
Low regular coefficients; Weak convergence rate; Euler-Maruyama’s approximation |
| College: |
Faculty of Science and Engineering |
| Issue: |
2 |
| Start Page: |
731 |
| End Page: |
747 |