Weak convergence of Euler scheme for SDEs with singular drift

Yongqiang Suo, Chenggui Yuan, Shao-Qin Zhang

Published 2020-05-10Version 1

In this paper, we investigate the weak convergence rate of Euler-Maruyama's approximation for stochastic differential equations with irregular drifts. Explicit weak convergence rates are presented if drifts satisfy an integrability condition including discontinuous functions which can be non-piecewise continuous or in fractional Sobolev space.