Abstract
In this paper we prove a discretized version of Krylov’s estimate for discretized Itô processes. As applications, we study the weak and strong convergences for Euler’s approximation of mean-field SDEs with measurable discontinuous and linear growth coefficients. Moreover, we also show the propagation of chaos for Euler’s approximation of mean-field SDEs.
| Original language | English |
|---|---|
| Article number | 131 |
| Journal | Electronic Journal of Probability |
| Volume | 24 |
| DOIs | |
| Publication status | Published - 2019 |
| Externally published | Yes |
Keywords
- Euler’s scheme
- Krylov’s estimate
- Mean-field SDE
- Propagation of chaos