Weak error for SDEs with additive stable noise and singular drift: choose the test function in the same space as the drift!

Abstract

We emphasize that for a stochastic differential equation with isotropic stable additive noise and non Lipschitz drift, when considering an appropriate discretization scheme and the associated weak error, it is somehow natural to consider a test function having the same spatial regularity as the drift involved. We will in particular focus on drifts belonging to Lebsegue, H{\"o}lder or Besov spaces with negative regularity index in their spatial variable. Choosing such a test function allows to improve the convergence rate previously obtained on the densities (for Lebesgue or H{\"o}lder drifts) or preserve the rate for possibly singular generalized test functions (for Besov spaces with negative regularity).