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In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an… Click to show full abstract
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in some fractional Sobolev space.
Keywords:
low regular;
weak convergence;
convergence;
convergence euler;
euler scheme
Journal Title: Numerical Algorithms
Year Published: 2021
Link to full text (if available)
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Journal Title: Numerical Algorithms
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!