Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise (Q6126812): Difference between revisions

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scientific article; zbMATH DE number 7829792

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English	Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise	scientific article; zbMATH DE number 7829792

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instance of

scholarly article

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title

Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise (English)

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The Annals of Applied Probability

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publication date

10 April 2024

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full work available at URL

https://arxiv.org/abs/2105.04860

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zbMATH Keywords

diffusion processes

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Euler scheme

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singular drift

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weak error analysis

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MaRDI profile type

MaRDI publication profile

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cites work

Q4428814

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density

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Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts

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Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise

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On multidimensional stable-driven stochastic differential equations with Besov drift

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On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift

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Quantifying a convergence theorem of Gyöngy and Krylov

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Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

0 references

On the weak approximation of a skew diffusion by an Euler-type scheme

0 references

Sharp estimates for the convergence of the density of the Euler scheme in small time

0 references

Euler scheme and tempered distributions

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A note on Euler's approximations

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Existence of strong solutions for Itô's stochastic equations via approximations

0 references

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

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Loss of regularity for Kolmogorov equations

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A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels

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Two-sided estimates on the density of Brownian motion with singular drift

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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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Stability of Densities for Perturbed Diffusions and Markov Chains

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Edgeworth type expansions for Euler schemes for stochastic differential equations.

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Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients

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On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\)

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Strong solutions of stochastic equations with singular time dependent drift

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A numerical method for SDEs with discontinuous drift

0 references

A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift

0 references

Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

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Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift

0 references

Heat kernel of supercritical nonlocal operators with unbounded drifts

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Rate of Convergence of the Euler Approximation for Diffusion Processes

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The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

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An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis

0 references

Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

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OUP accepted manuscript

0 references

Quantitative heat-kernel estimates for diffusions with distributional drift

0 references

Q3999945

0 references

A note on tamed Euler approximations

0 references

Weak convergence of Euler scheme for SDEs with low regular drift

0 references

Expansion of the global error for numerical schemes solving stochastic differential equations

0 references

The Euler scheme with irregular coefficients

0 references

Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes

0 references

Stochastic differential equations with Sobolev diffusion and singular drift and applications

0 references

Stochastic Lagrangian path for Leray's solutions of 3D Navier-Stokes equations

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6126812

@@ Property / cites work @@
+Q4428814
@@ Property / cites work: Q4428814 / rank @@
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
+Normal rank
@@ Property / cites work @@
+Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
+Normal rank
@@ Property / cites work @@
+Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise
+Normal rank
@@ Property / cites work @@
+On multidimensional stable-driven stochastic differential equations with Besov drift
+Normal rank
@@ Property / cites work @@
+On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
+Normal rank
@@ Property / cites work @@
+Quantifying a convergence theorem of Gyöngy and Krylov
+Normal rank
@@ Property / cites work @@
+Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
+Normal rank
@@ Property / cites work @@
+On the weak approximation of a skew diffusion by an Euler-type scheme
+Normal rank
@@ Property / cites work @@
+Sharp estimates for the convergence of the density of the Euler scheme in small time
+Normal rank
@@ Property / cites work @@
+Euler scheme and tempered distributions
@@ Property / cites work: Euler scheme and tempered distributions / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Existence of strong solutions for Itô's stochastic equations via approximations
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Loss of regularity for Kolmogorov equations
@@ Property / cites work: Loss of regularity for Kolmogorov equations / rank @@
+Normal rank
@@ Property / cites work @@
+A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels
+Normal rank
@@ Property / cites work @@
+Two-sided estimates on the density of Brownian motion with singular drift
+Normal rank
@@ Property / cites work @@
+Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
+Normal rank
@@ Property / cites work @@
+Stability of Densities for Perturbed Diffusions and Markov Chains
+Normal rank
@@ Property / cites work @@
+Edgeworth type expansions for Euler schemes for stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients
+Normal rank
@@ Property / cites work @@
+On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\)
+Normal rank
@@ Property / cites work @@
+Strong solutions of stochastic equations with singular time dependent drift
+Normal rank
@@ Property / cites work @@
+A numerical method for SDEs with discontinuous drift
+Normal rank
@@ Property / cites work @@
+A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
+Normal rank
@@ Property / cites work @@
+Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift
+Normal rank
@@ Property / cites work @@
+Heat kernel of supercritical nonlocal operators with unbounded drifts
+Normal rank
@@ Property / cites work @@
+Rate of Convergence of the Euler Approximation for Diffusion Processes
+Normal rank
@@ Property / cites work @@
+The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
+Normal rank
@@ Property / cites work @@
+An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
+Normal rank
@@ Property / cites work @@
+Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
+Normal rank
@@ Property / cites work @@
+OUP accepted manuscript
@@ Property / cites work: OUP accepted manuscript / rank @@
+Normal rank
@@ Property / cites work @@
+Quantitative heat-kernel estimates for diffusions with distributional drift
+Normal rank
@@ Property / cites work @@
+Q3999945
@@ Property / cites work: Q3999945 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on tamed Euler approximations
@@ Property / cites work: A note on tamed Euler approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence of Euler scheme for SDEs with low regular drift
+Normal rank
@@ Property / cites work @@
+Expansion of the global error for numerical schemes solving stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with Sobolev diffusion and singular drift and applications
+Normal rank
@@ Property / cites work @@
+Stochastic Lagrangian path for Leray's solutions of 3D Navier-Stokes equations
+Normal rank