Weak error on the densities for the Euler scheme of stable additive SDEs with H{\"o}lder drift

Mathis Fitoussi; Stephane Menozzi

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arXiv · 2410.10250

Weak error on the densities for the Euler scheme of stable additive SDEs with H{\"o}lder drift

Mathis Fitoussi·Stephane Menozzi

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Abstract

We are interested in the Euler-Maruyama dicretization of the SDE dXt =b(t,Xt)dt+ dZt, X0 =x$\in$Rd, where Zt is a symmetric isotropic d-dimensional $\alpha$-stable process, $\alpha$ $\in$ (1, 2] and the drift b $\in$ L$\infty$ ([0,T],C$\beta$(Rd,Rd)), $\beta$ $\in$ (0,1), is bounded and H{\"o}lder regular in space. Using an Euler scheme with a randomization of the time variable, we show that, denoting $\gamma$\,:= $\alpha$ + $\beta$ -- 1, the weak error on densities related to this discretization converges at the rate $\gamma$/$\alpha$.

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Mathis Fitoussi, Stephane Menozzi. 2024-10-14. Weak error on the densities for the Euler scheme of stable additive SDEs with H{\"o}lder drift. https://arxiv.org/abs/2410.10250

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