Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications

DOI10.1007/s11075-023-01539-4arXiv2103.01323OpenAlexW4376616553MaRDI QIDQ6076945

Xing Huang, Chenggui Yuan, Yongqiang Suo

Publication date: 17 October 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.01323

zbMATH Keywords

Euler-Maruyama schemeKrylov's estimateZvonkin's transformationtransition kernel

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Systems of functional equations and inequalities (39B72) Singular perturbations of functional-differential equations (34K26)

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