Convergence rate of EM algorithm for SDEs under integrability condition

Authors Jianhai Bao, Xing Huang, Shaoqin Zhang

Publication date 10 September 2020

Singular perturbations of functional-differential equations (34K26) Systems of functional equations and inequalities (39B72) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, by employing Gaussian type estimate of heat kernel, we establish Krylov's estimate and Khasminskill's estimate for EM algorithm. As applications, by taking Zvonkin's transformation into account, we investigate convergence rate of EM algorithm for a class of multidimensional SDEs under integrability conditions, where the drifts need not to be piecewise Lipschitz and are much more singular in some sense.

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