The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise

DOI10.1080/07362994.2017.1371037zbMath1388.60118OpenAlexW2782388370MaRDI QIDQ4607788

Xing Huang, Zhong Wei Liao

Publication date: 14 March 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2017.1371037

zbMATH Keywords

Hölder continuity, Zvonkin type transformation, Euler-Maruyama method, \(\alpha\)-stable process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

Related Items (6)

New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts ⋮ Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts ⋮ Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications ⋮ On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift ⋮ Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise ⋮ Regularity properties of jump diffusions with irregular coefficients

Cites Work

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• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Strong solutions for functional SDEs with singular drift
• On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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