Back to Search
Start Over
Estimate of Heat Kernel for Euler-Maruyama Scheme of SDEs Driven by α-Stable Noise and Applications
- Publication Year :
- 2021
- Publisher :
- arXiv, 2021.
-
Abstract
- In this paper, the discrete parameter expansion is adopted to investigate the estimation of heat kernel for Euler-Maruyama scheme of SDEs driven by α-stable noise, which implies krylov's estimate and khasminskii's estimate. As an application, the convergence rate of Euler-Maruyama scheme of a class of multidimensional SDEs with singular drift( in aid of Zvonkin's transformation) is obtained.<br />24pages
- Subjects :
- Probability (math.PR)
FOS: Mathematics
Mathematics::Numerical Analysis
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi...........9003acce6764fd7c701c4758f3e55c77
- Full Text :
- https://doi.org/10.48550/arxiv.2103.01323