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Convergence rate of EM algorithm for SDEs under integrability condition

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arxiv 2009.04781 v1 pith:V5C5ZTAF submitted 2020-09-10 math.PR cs.NAmath.NA

Jianhai Bao , Xing Huang , Shao-Qin Zhang This is my paper
classification math.PRcs.NAmath.NA
keywords algorithmestimateconvergenceintegrabilityratesdesunderaccount
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In this paper, by employing Gaussian type estimate of heat kernel, we establish Krylov's estimate and Khasminskill's estimate for EM algorithm. As applications, by taking Zvonkin's transformation into account, we investigate convergence rate of EM algorithm for a class of multidimensional SDEs under integrability conditions, where the drifts need not to be piecewise Lipschitz and are much more singular in some sense.

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  1. Tamed Euler Schemes for Singular SDEs with Multiplicative Levy Noise

    math.PR 2026-07 conditional novelty 7.0 of 10

    A tamed Euler–Maruyama scheme for singular SDEs with multiplicative Lévy noise is shown to converge strongly at explicit, jump-sensitive rates.

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