Distribution-dependent SDEs with Hölder continuous drift and -stable noise

DOI10.1007/S11075-020-00913-WzbMATH Open1459.65011arXiv1910.03299OpenAlexW3040816364MaRDI QIDQ2220751FDOQ2220751

Fen-fen Yang, Xing Huang

Publication date: 25 January 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Abstract: In this paper, the existence and uniqueness of the distribution dependent SDEs with H"{o}lder continuous drift driven by $alpha$-stable process is investigated. Moreover, by using Zvonkin type transformation, the convergence rate of Euler-Maruyama method is also obtained. The results cover the ones in the case of distribution independent SDEs.

Full work available at URL: https://arxiv.org/abs/1910.03299

zbMATH Keywords

Euler-Maruyama method\(\alpha\)-stable processZvonkin-type transformationdistribution-dependent SDEsHölder continuous

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (9)

• Path dependent McKean-Vlasov SDEs with Hölder continuous diffusion
• Stochastic averaging principle for two-time-scale SPDEs driven by fractional Brownian motion with distribution dependent coefficients
• Averaging principle for McKean-Vlasov SDEs driven by FBMs
• Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process
• Densities for SDEs driven by degenerate \(\alpha\)-stable processes
• Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts
• The averaging method for doubly perturbed distribution dependent SDEs
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift

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