{
  "id": "2005.04631",
  "version": "v1",
  "published": "2020-05-10T11:17:59.000Z",
  "updated": "2020-05-10T11:17:59.000Z",
  "title": "Weak convergence of Euler scheme for SDEs with singular drift",
  "authors": [
    "Yongqiang Suo",
    "Chenggui Yuan",
    "Shao-Qin Zhang"
  ],
  "comment": "12 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-05-10T11:17:59.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "34K26",
      "65C30"
    ],
    "keywords": [
      "euler scheme",
      "singular drift",
      "explicit weak convergence rates",
      "fractional sobolev space",
      "stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 12,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}