Strong convergence of the Euler scheme for singular kinetic SDEs driven by $\alpha$-stable processes

Chengcheng Ling

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arXiv · 2412.05142

Strong convergence of the Euler scheme for singular kinetic SDEs driven by $\alpha$-stable processes

Chengcheng Ling

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Abstract

We study the strong approximation of the solutions to singular stochastic kinetic equations (also referred to as second-order SDEs) driven by $\alpha$-stable processes, using an Euler-type scheme inspired by [11]. For these equations, the stability index $\alpha$ lies in the range $(1,2)$, and the drift term exhibits anisotropic $\beta$-H\"older continuity with $\beta >1 - \frac{\alpha}{2}$. We establish a convergence rate of $(\frac{1}{2} + \frac{\beta}{\alpha(1+\alpha)} \wedge \frac{1}{2})$, which aligns with the results in [4] concerning first-order SDEs.

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Chengcheng Ling. 2024-12-06. Strong convergence of the Euler scheme for singular kinetic SDEs driven by $\alpha$-stable processes. https://arxiv.org/abs/2412.05142

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