Weak error on the densities for the Euler scheme of stable additive SDEs with H{ö}lder drift

Mathis Fitoussi, Stephane Menozzi

We are interested in the Euler-Maruyama dicretization of the SDE dXt =b(t,Xt)dt+ dZt, X0 =x$\in$Rd, where Zt is a symmetric isotropic d-dimensional $\alpha$-stable process, $\alpha$ $\in$ (1…