Weak Error on the densities for the Euler scheme of stable additive SDEs with Besov drift

Mathis Fitoussi, Elena Issoglio, Stéphane Menozzi

We are interested in the Euler-Maruyama dicretization of the formal SDE, $d{X}_t=b(t,X_t)dt+d{Z}_t$, where $Z$ is a symmetric isotropic d dimensional stable process of index $α\in (1,2…