Estimate of Heat Kernel for Euler-Maruyama Scheme of SDEs Driven by α-Stable Noise and Applications

preprint2022arXivOpen access

Abstract

In this paper, the discrete parameter expansion is adopted to investigate the estimation of heat kernel for Euler-Maruyama scheme of 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 of a class of multidimensional SDEs with singular drift( in aid of Zvonkin's transformation) is obtained.

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