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arxiv 2411.09949 v1 pith:HIJ3RK6I submitted 2024-11-15 math.PR

W_(bf d)-convergence rate of EM schemes for invariant measures of supercritical stable SDEs

classification math.PR
keywords alphagammaconvergenceinvariantrateschemessdesstable
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By establishing the regularity estimates for nonlocal Stein/Poisson equations under $\gamma$-order H\"older and dissipative conditions on the coefficients, we derive the $W_{\bf d}$-convergence rate for the Euler-Maruyama schemes applied to the invariant measure of SDEs driven by multiplicative $\alpha$-stable noises with $\alpha \in (\frac{1}{2}, 2)$, where $W_{\bf d}$ denotes the Wasserstein metric with ${\bf d}(x,y)=|x-y|^\gamma\wedge 1$ and $\gamma \in ((1-\alpha)_+, 1]$.

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