Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866909967289679872 |
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| author | Fitoussi, Mathis Issoglio, Elena Menozzi, Stéphane |
| author_facet | Fitoussi, Mathis Issoglio, Elena Menozzi, Stéphane |
| contents | We are interested in the Euler-Maruyama dicretization of the formal SDE, $dX_t=b(t,X_t)dt+dZ_t$, where $Z$ is a symmetric isotropic d dimensional stable process of index $α\in (1,2)$, and $b$ is distributional. It belongs to a mix Lebesgue-Besov space. The associated parameters satisfy some constraints which guarantee weak-well posedness. Defining an appropriate Euler scheme, we obtain a convergence rate for the weak error on the densities. The rate depends on the parameters. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_15299 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift Fitoussi, Mathis Issoglio, Elena Menozzi, Stéphane Analysis of PDEs Probability We are interested in the Euler-Maruyama dicretization of the formal SDE, $dX_t=b(t,X_t)dt+dZ_t$, where $Z$ is a symmetric isotropic d dimensional stable process of index $α\in (1,2)$, and $b$ is distributional. It belongs to a mix Lebesgue-Besov space. The associated parameters satisfy some constraints which guarantee weak-well posedness. Defining an appropriate Euler scheme, we obtain a convergence rate for the weak error on the densities. The rate depends on the parameters. |
| title | Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift |
| topic | Analysis of PDEs Probability |
| url | https://arxiv.org/abs/2512.15299 |