A discretized version of Krylov's estimate and its applications
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Publication:2279326
Abstract: In this paper we prove a discretized version of Krylov's estimate for discretized It^o's processes. As applications, we study the weak and strong convergences for Euler's approximation of mean-field SDEs with measurable discontinuous and linear growth coefficients. Moreover, we also show the propagation of chaos for Euler's approximation of mean-field SDEs.
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Cited in
(15)- On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
- Path dependent McKean-Vlasov SDEs with Hölder continuous diffusion
- Weak approximation of Schrödinger-Föllmer diffusion
- Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients
- Euler scheme for density dependent stochastic differential equations
- Mean-field stochastic differential equations with a discontinuous diffusion coefficient
- Well-posedness of distribution dependent SDEs with singular drifts
- Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts
- On the \(\alpha \)-dependence of stochastic differential equations with Hölder drift and driven by \(\alpha \)-stable Lévy processes
- Discretizations of the generalized AKNS scheme
- Distribution-dependent SDEs with Hölder continuous drift and -stable noise
- Tamed Euler-Maruyama approximation of McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
- Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
- Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
- The tamed Euler-Maruyama approximation of Mckean-Vlasov stochastic differential equations and asymptotic error analysis
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