Convergence rate of the Euler-Maruyama scheme to density dependent SDEs driven by $α$-stable additive noise
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866929367891836928 |
|---|---|
| author | Song, Ke Hao, Zimo |
| author_facet | Song, Ke Hao, Zimo |
| contents | In this paper, we establish the weak convergence rate of density-dependent stochastic differential equations with bounded drift driven by $α$-stable processes with $α\in(1,2)$. The well-posedness of these equations has been previously obtained in \cite{wu2023well}. We derive an explicit convergence rate in total variation for the Euler-Maruyama scheme, employing a technique rooted in \cite{hao2023}. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_20840 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Convergence rate of the Euler-Maruyama scheme to density dependent SDEs driven by $α$-stable additive noise Song, Ke Hao, Zimo Probability In this paper, we establish the weak convergence rate of density-dependent stochastic differential equations with bounded drift driven by $α$-stable processes with $α\in(1,2)$. The well-posedness of these equations has been previously obtained in \cite{wu2023well}. We derive an explicit convergence rate in total variation for the Euler-Maruyama scheme, employing a technique rooted in \cite{hao2023}. |
| title | Convergence rate of the Euler-Maruyama scheme to density dependent SDEs driven by $α$-stable additive noise |
| topic | Probability |
| url | https://arxiv.org/abs/2405.20840 |