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

Peng Chen, Lihu Xu, Xiaolong Zhang, Xicheng Zhang

Published 2024-11-15Version 1

By establishing the regularity estimates for nonlocal Stein/Poisson equations under $\gamma$-order H\"older 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 $\alpha$-stable noises with $\alpha \in (\frac{1}{2}, 2)$, where $W_{\bf d}$ denotes the Wasserstein metric with ${\bf d}(x,y)=|x-y|^\gamma\wedge 1$ and $\gamma \in ((1-\alpha)_+, 1]$.