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Weak convergence of Euler scheme for SDEs with low regular drift

YONGQIANG SUO, Chenggui Yuan Orcid Logo, Shao-Qin Zhang

Numerical Algorithms, Volume: 90, Issue: 2, Pages: 731 - 747

Swansea University Authors: YONGQIANG SUO, Chenggui Yuan Orcid Logo

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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...

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Published in: Numerical Algorithms
ISSN: 1017-1398 1572-9265
Published: Springer Science and Business Media LLC 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa58372
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first_indexed 2021-10-18T08:26:52Z
last_indexed 2022-05-10T03:30:17Z
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spelling 2022-05-09T12:09:38.1580153 v2 58372 2021-10-18 Weak convergence of Euler scheme for SDEs with low regular drift 9f5e288c171f1e0f01062b8a5a9007af YONGQIANG SUO YONGQIANG SUO true false 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2021-10-18 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. Journal Article Numerical Algorithms 90 2 731 747 Springer Science and Business Media LLC 1017-1398 1572-9265 Low regular coefficients; Weak convergence rate; Euler-Maruyama’s approximation 1 6 2022 2022-06-01 10.1007/s11075-021-01206-6 COLLEGE NANME COLLEGE CODE Swansea University 2022-05-09T12:09:38.1580153 2021-10-18T09:25:46.0005832 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics YONGQIANG SUO 1 Chenggui Yuan 0000-0003-0486-5450 2 Shao-Qin Zhang 3 58372__21412__586005ba7e6c48a6a66c988a66ef3f81.pdf 58372.pdf 2021-11-02T16:33:38.4597987 Output 317110 application/pdf Accepted Manuscript true 2022-10-02T00:00:00.0000000 true eng https://v2.sherpa.ac.uk/id/publication/16622
title Weak convergence of Euler scheme for SDEs with low regular drift
spellingShingle Weak convergence of Euler scheme for SDEs with low regular drift
YONGQIANG SUO
Chenggui Yuan
title_short Weak convergence of Euler scheme for SDEs with low regular drift
title_full Weak convergence of Euler scheme for SDEs with low regular drift
title_fullStr Weak convergence of Euler scheme for SDEs with low regular drift
title_full_unstemmed Weak convergence of Euler scheme for SDEs with low regular drift
title_sort Weak convergence of Euler scheme for SDEs with low regular drift
author_id_str_mv 9f5e288c171f1e0f01062b8a5a9007af
22b571d1cba717a58e526805bd9abea0
author_id_fullname_str_mv 9f5e288c171f1e0f01062b8a5a9007af_***_YONGQIANG SUO
22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan
author YONGQIANG SUO
Chenggui Yuan
author2 YONGQIANG SUO
Chenggui Yuan
Shao-Qin Zhang
format Journal article
container_title Numerical Algorithms
container_volume 90
container_issue 2
container_start_page 731
publishDate 2022
institution Swansea University
issn 1017-1398
1572-9265
doi_str_mv 10.1007/s11075-021-01206-6
publisher Springer Science and Business Media LLC
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 1
active_str 0
description 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.
published_date 2022-06-01T04:14:51Z
_version_ 1763754001317232640
score 11.016235

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