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

DOI10.1007/S11075-023-01539-4MaRDI QIDQ6076945zbMATH OpenOpenAlexFDO

Authors Xing Huang, Yongqiang Suo, Chenggui Yuan

Publication date 17 October 2023

Published in Numerical Algorithms (Search for Journal in Brave)

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

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)

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.

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