论文标题
Euler方案的弱收敛性SDE具有奇异漂移
Weak convergence of Euler scheme for SDEs with singular drift
论文作者
论文摘要
在本文中，我们研究了Euler-Maruyama在随机微分方程中具有不规则漂移的近似的弱收敛速率。如果漂移满足可集成性条件，包括不连续的函数，这些函数可能是无键值连续的或在分数Sobolev空间中，则表示明确的弱收敛速率。
In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space.
