Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications (Q6076945)

scientific article; zbMATH DE number 7751254

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English	Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications	scientific article; zbMATH DE number 7751254

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instance of

scholarly article

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title

Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications (English)

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17 October 2023

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full work available at URL

https://arxiv.org/abs/2103.01323

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zbMATH Keywords

Zvonkin's transformation

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Euler-Maruyama scheme

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transition kernel

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Krylov's estimate

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MaRDI profile type

MaRDI publication profile

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cites work

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

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Some Theorems on Stable Processes

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Heat kernels and analyticity of non-symmetric jump diffusion semigroups

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Heat kernels for time-dependent non-symmetric stable-like operators

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On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

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Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift

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The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

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On Stochastic Differential Equations with Locally Unbounded 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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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise

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Degenerate SDEs with singular drift and applications to Heisenberg groups

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Parametrix construction of the transition probability density of the solution to an SDE driven by \(\alpha\)-stable noise

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Local limit theorems for transition densities of Markov chains converging to diffusions

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Weak error for stable driven stochastic differential equations: expansion of the densities

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Q4004325

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Strong solutions of stochastic equations with singular time dependent drift

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Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs

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On some non asymptotic bounds for the Euler scheme

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

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Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient

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Q4169289

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Q5607484

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Harnack inequalities for stochastic equations driven by Lévy noise

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

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Stochastic homeomorphism flows of SDEs with singular drifts and Sobolev diffusion coefficients

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Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients

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A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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Identifiers

arXiv ID

2103.01323

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Mathematics Subject Classification ID

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10.1007/S11075-023-01539-4

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Sitelinks

Mathematics(1 entry)

mardi Publication:6076945