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arXiv · 1909.09976

A discretized version of Krylov's estimate and its applications

Xicheng Zhang
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Abstract

In this paper we prove a discretized version of Krylov's estimate for discretized Itô's processes. As applications, we study the weak and strong convergences for Euler's approximation of mean-field SDEs with measurable discontinuous and linear growth coefficients. Moreover, we also show the propagation of chaos for Euler's approximation of mean-field SDEs.

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Xicheng Zhang. 2019-11-07. A discretized version of Krylov's estimate and its applications. https://arxiv.org/abs/1909.09976

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