Work

Weak convergence of Euler scheme for SDEs with singular drift

Year: 2020

Type: preprint

Abstract: In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2005.04631

Authors: Suo, Yongqiang, Yuan, Chenggui, Zhang, Shao-Qin

Institutions: Swansea University, Central University of Finance and Economics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3022523685

Cites: 17

Cited by: 2

Related to: 10