A discretized version of Krylov's estimate and its applications

Abstract

In this paper we prove a discretized version of Krylov's estimate for discretized Itô's processes. As applications, we study the weak and strong convergences for Euler's approximation of mean-field SDEs with measurable discontinuous and linear growth coefficients. Moreover, we also show the propagation of chaos for Euler's approximation of mean-field SDEs.

16pages

References in corpus (2)

• Heavy neutral fermions at the high-luminosity LHC
• Approximations of Mckean-Vlasov SDEs with Irregular Coefficients

Cited by in corpus (1)

• Well-posedness of distribution dependent SDEs with singular drifts