Journal article 422 views 21 downloads
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications
Xing Huang,
Yongqiang Suo,
Chenggui Yuan 
Numerical Algorithms, Volume: 94, Pages: 1381 - 1402
Swansea University Author:
Chenggui Yuan
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DOI (Published version): 10.1007/s11075-023-01539-4
Abstract
In this paper, the discrete parametrix method is adopted to investigate the estimation of transition kernel for Euler-Maruyama scheme SDEs driven by α-stable noise, which implies Krylov’s estimate and Khasminskii’s estimate. As an application, the convergence rate of Euler-Maruyama scheme for a clas...
| Published in: | Numerical Algorithms |
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| ISSN: | 1017-1398 1572-9265 |
| Published: |
Springer Science and Business Media LLC
2023
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa63548 |
| Abstract: |
In this paper, the discrete parametrix method is adopted to investigate the estimation of transition kernel for Euler-Maruyama scheme SDEs driven by α-stable noise, which implies Krylov’s estimate and Khasminskii’s estimate. As an application, the convergence rate of Euler-Maruyama scheme for a class of multidimensional SDEs with singular drift (by the use of Zvonkin’s transformation) is obtained. |
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| Keywords: |
Zvonkin’s transformation, Euler-Maruyama scheme, Transition kernel, Krylov’s estimate |
| College: |
Faculty of Science and Engineering |
| Start Page: |
1381 |
| End Page: |
1402 |