Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by -stable noise and applications

DOI10.1007/S11075-023-01539-4arXiv2103.01323OpenAlexW4376616553MaRDI QIDQ6076945FDOQ6076945

Authors: Xing Huang, Yongqiang Suo, Chenggui Yuan 

Publication date: 17 October 2023

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

Abstract: In this paper, the discrete parameter expansion is adopted to investigate the estimation of heat kernel for Euler-Maruyama scheme of SDEs driven by {alpha}-stable noise, which implies krylov's estimate and khasminskii's estimate. As an application, the convergence rate of Euler-Maruyama scheme of a class of multidimensional SDEs with singular drift( in aid of Zvonkin's transformation) is obtained.

Full work available at URL: https://arxiv.org/abs/2103.01323

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zbMATH Keywords

Euler-Maruyama schemeKrylov's estimateZvonkin's transformationtransition kernel

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Singular perturbations of functional-differential equations (34K26) Systems of functional equations and inequalities (39B72)

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