Back to Search Start Over

Weak well-posedness and weak discretization error for stable-driven SDEs with Lebesgue drift

Authors :
Fitoussi, Mathis
Jourdain, Benjamin
Menozzi, Stéphane
Publication Year :
2024

Abstract

We are interested in the discretization of stable driven SDEs with additive noise for $\alpha$ $\in$ (1, 2) and Lq -- Lp drift under the Serrin type condition $\alpha$/q + d/p < $\alpha$ -- 1. We show weak existence and uniqueness as well as heat kernel estimates for the SDE and obtain a convergence rate of order (1/$\alpha$)*($\alpha$ -- 1 -- $\alpha$/q - d/p) for the difference of the densities for the Euler scheme approximation involving suitably cutoffed and time randomized drifts.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2405.08378
Document Type :
Working Paper