Weak convergence of Euler scheme for SDEs with low regular drift (Q2138404)

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Weak convergence of Euler scheme for SDEs with low regular drift

scientific article; zbMATH DE number 7525418

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English	Weak convergence of Euler scheme for SDEs with low regular drift	scientific article; zbMATH DE number 7525418

Statements

instance of

scholarly article

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title

Weak convergence of Euler scheme for SDEs with low regular drift (English)

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11 May 2022

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full work available at URL

https://arxiv.org/abs/2005.04631

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zbMATH Keywords

low regular coefficients

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weak convergence rate

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Euler-Maruyama's approximation

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MaRDI profile type

MaRDI publication profile

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cites work

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

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

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

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

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On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient

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

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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

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

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

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On some non asymptotic bounds for the Euler scheme

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An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis

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

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On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients

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Approximation for non-smooth functionals of stochastic differential equations with irregular drift

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Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift

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Theory of function spaces. III

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Sobolev differentiable flows of SDEs with local Sobolev and super-linear growth coefficients

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Ergodicity of stochastic differential equations with jumps and singular coefficients

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Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients

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Identifiers

zbMATH Open document ID

1496.65011

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Mathematics Subject Classification ID

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10.1007/S11075-021-01206-6

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Sitelinks

Mathematics(1 entry)

mardi Weak convergence of Euler scheme for SDEs with low regular drift