Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts

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.