Abstract
This work is concerned with convergence rate of Euler–Maruyama scheme for distribution-independent and distribution-dependent stochastic differential equations, where the drifts involved are Dini continuous and unbounded. Via introducing a new Zvonkin-type’s transformation, we investigate convergence rate of Euler–Maruyama scheme for stochastic differential equations with singular coefficients which allows the drifts to be unbounded. Moreover, via the analysis of interacting particle systems, we show an approximation issue on a class of distribution-dependent stochastic differential equations with singular drifts. More specifically, propagation of chaos and convergence rate of the Euler–Maruyama scheme associated with the interacting particle systems are investigated.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Communications in Nonlinear Science and Numerical Simulation
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.