Abstract
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stochastic differential equations with low regular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in some fractional Sobolev space.
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The authors would like to thank the associate editor and referees for their helpful comments and suggestions.
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The third author was supported by the Emerging interdisciplinary Project of CUFE and the National Natural Science Foundation of China (Grant No. 11901604, 11771326).
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Suo, Y., Yuan, C. & Zhang, SQ. Weak convergence of Euler scheme for SDEs with low regular drift. Numer Algor 90, 731–747 (2022). https://doi.org/10.1007/s11075-021-01206-6
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DOI: https://doi.org/10.1007/s11075-021-01206-6