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Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications
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 |
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Springer Science and Business Media LLC
2023
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URI: | https://cronfa.swan.ac.uk/Record/cronfa63548 |
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2024-09-16T13:55:40.1410988 v2 63548 2023-05-30 Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2023-05-30 MACS 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. Journal Article Numerical Algorithms 94 1381 1402 Springer Science and Business Media LLC 1017-1398 1572-9265 Zvonkin’s transformation, Euler-Maruyama scheme, Transition kernel, Krylov’s estimate 1 11 2023 2023-11-01 10.1007/s11075-023-01539-4 COLLEGE NANME Mathematics and Computer Science School COLLEGE CODE MACS Swansea University 2024-09-16T13:55:40.1410988 2023-05-30T10:12:58.1726916 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Xing Huang 1 Yongqiang Suo 2 Chenggui Yuan 0000-0003-0486-5450 3 63548__27641__cab01099eaf643ea8264ae2deb68a589.pdf 63548.pdf 2023-05-30T14:27:24.6673729 Output 370928 application/pdf Accepted Manuscript true 2024-05-13T00:00:00.0000000 false eng |
title |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
spellingShingle |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications Chenggui Yuan |
title_short |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
title_full |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
title_fullStr |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
title_full_unstemmed |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
title_sort |
Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by a-stable noise and applications |
author_id_str_mv |
22b571d1cba717a58e526805bd9abea0 |
author_id_fullname_str_mv |
22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan |
author |
Chenggui Yuan |
author2 |
Xing Huang Yongqiang Suo Chenggui Yuan |
format |
Journal article |
container_title |
Numerical Algorithms |
container_volume |
94 |
container_start_page |
1381 |
publishDate |
2023 |
institution |
Swansea University |
issn |
1017-1398 1572-9265 |
doi_str_mv |
10.1007/s11075-023-01539-4 |
publisher |
Springer Science and Business Media LLC |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
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description |
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. |
published_date |
2023-11-01T08:32:41Z |
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1823749189058691072 |
score |
11.050959 |