Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift

التفاصيل البيبلوغرافية
العنوان: Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift
المؤلفون: Fitoussi, Mathis, Jourdain, Benjamin, Menozzi, Stéphane
سنة النشر: 2024
المجموعة: Mathematics
مصطلحات موضوعية: Mathematics - Probability
الوصف: We are interested in the discretization of stable driven SDEs with additive noise for $\alpha$ $\in$ (1, 2) and Lq -- Lp drift under the Serrin type condition $\alpha$/q + d/p < $\alpha$ -- 1. We show weak existence and uniqueness as well as heat kernel estimates for the SDE and obtain a convergence rate of order (1/$\alpha$)*($\alpha$ -- 1 -- $\alpha$/q - d/p) for the difference of the densities for the Euler scheme approximation involving suitably cutoffed and time randomized drifts.
نوع الوثيقة: Working Paper
URL الوصول: http://arxiv.org/abs/2405.08378
رقم الأكسشن: edsarx.2405.08378
قاعدة البيانات: arXiv