Distribution-dependent SDEs with Hölder continuous drift and α-stable noise

In this paper, the existence and uniqueness of the distribution-dependent SDEs with the Hölder continuous drift driven by a α -stable process are investigated. Moreover, by using the Zvonkin-type transformation, the convergence rate of the Euler–Maruyama method and propagation of chaos is also obtai...

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Bibliographic Details
Published inNumerical algorithms Vol. 86; no. 2; pp. 813 - 831
Main Authors Huang, Xing, Yang, Fen-Fen
Format Journal Article
LanguageEnglish
Published New York Springer US 01.02.2021
Springer Nature B.V
Subjects
Algebra
Algorithms
Approximation
Brownian motion
Computer Science
Drift
Numeric Computing
Numerical Analysis
Original Paper
Random variables
Theory of Computation
Distribution-dependent SDEs
stable process
Euler–Maruyama method
60H10
41A25
Zvonkin-type transformation
60C30
Hölder continuous
60H35
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Summary:In this paper, the existence and uniqueness of the distribution-dependent SDEs with the Hölder continuous drift driven by a α -stable process are investigated. Moreover, by using the Zvonkin-type transformation, the convergence rate of the Euler–Maruyama method and propagation of chaos is also obtained. The results cover the ones in the case of distribution-independent SDEs.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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ISSN:1017-1398
1572-9265
DOI:10.1007/s11075-020-00913-w