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تسجيل مستخدم جديدWeak Error for stable driven SDEs: expansion of the densities
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تأليف
Valentin Konakov
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Consider a multidimensional SDE of the form $X_t = x+int_{0}^{t} b(X_{s-})ds+int{0}^{t} f(X_{s-})dZ_s$ where $(Z_s)_{sge 0}$ is a symmetric stable process. Under suitable assumptions on the coefficients the unique strong solution of the above equation admits a density w.r.t. the Lebesgue measure and so does its Euler scheme. Using a parametrix approach, we derive an error expansion at order 1 w.r.t. the time step for the difference of these densities.
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