Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift
classification
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math.PR
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densitieserroreulerparametersrateschemestableweak
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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.
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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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