Weak convergence of Euler scheme for SDEs with low regular drift
Sign Up to like & getrecommendations! Published in 2021 at "Numerical Algorithms"
DOI: 10.1007/s11075-021-01206-6
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… read more here.
Keywords: low regular; weak convergence; convergence; convergence euler ... See more keywords