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

Xing Huang, Yongqiang Suo, Chenggui Yuan Orcid Logo

Numerical Algorithms

Swansea University Author: Chenggui Yuan Orcid Logo

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DOI (Published version): 10.1007/s11075-023-01539-4

Abstract

In this paper, the discrete parametrix method is adopted to investigate the estimation of transition kernel for Euler-Maruyama scheme SDEs driven by α-stable noise, which implies Krylov’s estimate and Khasminskii’s estimate. As an application, the convergence rate of Euler-Maruyama scheme for a clas...

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Published in: Numerical Algorithms
ISSN: 1017-1398 1572-9265
Published: Springer Science and Business Media LLC
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URI: https://cronfa.swan.ac.uk/Record/cronfa63548
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first_indexed 2023-05-30T09:15:58Z
last_indexed 2023-05-30T09:15:58Z
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spelling v2 63548 2023-05-30 Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2023-05-30 SMA In this paper, the discrete parametrix method is adopted to investigate the estimation of transition kernel for Euler-Maruyama scheme SDEs driven by α-stable noise, which implies Krylov’s estimate and Khasminskii’s estimate. As an application, the convergence rate of Euler-Maruyama scheme for a class of multidimensional SDEs with singular drift (by the use of Zvonkin’s transformation) is obtained. Journal Article Numerical Algorithms Springer Science and Business Media LLC 1017-1398 1572-9265 Zvonkin’s transformation, Euler-Maruyama scheme, Transition kernel, Krylov’s estimate 0 0 0 0001-01-01 10.1007/s11075-023-01539-4 http://dx.doi.org/10.1007/s11075-023-01539-4 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University 2023-09-21T15:31:45.9922417 2023-05-30T10:12:58.1726916 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Xing Huang 1 Yongqiang Suo 2 Chenggui Yuan 0000-0003-0486-5450 3 Under embargo Under embargo 2023-05-30T14:27:24.6673729 Output 370928 application/pdf Accepted Manuscript true 2024-05-13T00:00:00.0000000 false eng
title Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
spellingShingle Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
Chenggui Yuan
title_short Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
title_full Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
title_fullStr Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
title_full_unstemmed Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
title_sort Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by alpha-stable noise and applications
author_id_str_mv 22b571d1cba717a58e526805bd9abea0
author_id_fullname_str_mv 22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan
author Chenggui Yuan
author2 Xing Huang
Yongqiang Suo
Chenggui Yuan
format Journal article
container_title Numerical Algorithms
institution Swansea University
issn 1017-1398
1572-9265
doi_str_mv 10.1007/s11075-023-01539-4
publisher Springer Science and Business Media LLC
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
url http://dx.doi.org/10.1007/s11075-023-01539-4
document_store_str 0
active_str 0
description In this paper, the discrete parametrix method is adopted to investigate the estimation of transition kernel for Euler-Maruyama scheme SDEs driven by α-stable noise, which implies Krylov’s estimate and Khasminskii’s estimate. As an application, the convergence rate of Euler-Maruyama scheme for a class of multidimensional SDEs with singular drift (by the use of Zvonkin’s transformation) is obtained.
published_date 0001-01-01T15:31:44Z
_version_ 1777657922543681536
score 11.01753

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