W_{\bf d}-convergence rate of EM schemes for invariant measures of supercritical stable SDEs

2024/11/15 by Peng Chen, Chen, Peng, Lihu Xu +5 · 1 citation
Computer Science · #60H10 #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.2411.09949

openalex publication_date 2024/11/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

By establishing the regularity estimates for nonlocal Stein/Poisson equations under γ-order Hölder and dissipative conditions on the coefficients, we derive the W_{\bf d}-convergence rate for the Euler-Maruyama schemes applied to the invariant measure of SDEs driven by multiplicative α-stable noises with α∈ ((1)/(2), 2), where W_{\bf d} denotes the Wasserstein metric with \bf d(x,y)=|x-y|^γ\wedge 1 and γ∈ ((1-α)₊, 1].

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• Optimal Rates for Ergodic SDEs Driven by Multiplicative α-Stable Processes in Wasserstein-1 distance

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