Weak convergence of Euler scheme for SDEs with singular drift

Yongqiang Suo; Chenggui Yuan; Shao-Qin Zhang

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arXiv · 2005.04631

Weak convergence of Euler scheme for SDEs with singular drift

Yongqiang Suo·Chenggui Yuan·Shao-Qin Zhang

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Abstract

In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space.

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Yongqiang Suo, Chenggui Yuan, Shao-Qin Zhang. 2020-05-10. Weak convergence of Euler scheme for SDEs with singular drift. https://arxiv.org/abs/2005.04631

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