Weak convergence of Euler scheme for SDEs with low regular drift
Weak convergence of Euler scheme for SDEs with low regular drift
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具有低规则漂移的 SDE 的欧拉方案的弱收敛性
DOI：
10.1007/s11075-021-01206-6
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发表时间：
2021
影响因子：
2.1
通讯作者：
Zhang Shao-Qin
中科院分区：
文献类型：
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作者：
Suo Yongqiang;Yuan Chenggui;Zhang Shao-Qin
本文研究了具有低正则漂移的随机微分方程的Euler-Maruyama逼近的弱收敛速度。如果漂移满足可积性条件，包括非分段连续或在某些分数Sobolev空间中的不连续函数，则给出了显式弱收敛速度。
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in some fractional Sobolev space.