Weak convergence of Euler scheme for SDEs with singular drift
arXiv:2005.04631
Abstract
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.
arXiv comment12 pages
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