Abstract: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 $\alpha\in (1,2)$, 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.
From: Stephane Menozzi [view email] [via CCSD proxy]
[v1]
Wed, 17 Dec 2025 10:46:49 UTC (54 KB)
[v2]
Mon, 8 Jun 2026 11:51:46 UTC (55 KB)
[v3]
Thu, 2 Jul 2026 10:07:26 UTC (55 KB)
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