Matching the test function's spatial regularity to that of the singular drift (Lebesgue, Hölder or negative Besov) improves or preserves weak convergence rates for discretization of SDEs with stable noise.
Density and gradient estimates for non degenerate B rownian SDE s with unbounded measurable drift
2 Pith papers cite this work. Polarity classification is still indexing.
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Establishes weak error convergence rate γ/α (γ = α + β - 1) for densities under randomized Euler discretization of α-stable SDEs with Hölder drift β ∈ (0,1).
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Weak error for SDEs with additive stable noise and singular drift: choose the test function in the same space as the drift!
Matching the test function's spatial regularity to that of the singular drift (Lebesgue, Hölder or negative Besov) improves or preserves weak convergence rates for discretization of SDEs with stable noise.
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Weak error on the densities for the Euler scheme of stable additive SDEs with H{\"o}lder drift
Establishes weak error convergence rate γ/α (γ = α + β - 1) for densities under randomized Euler discretization of α-stable SDEs with Hölder drift β ∈ (0,1).