A discretized version of krylov’s estimate and its applications*

Xicheng Zhang

doi:10.1214/19-EJP390

A discretized version of krylov’s estimate and its applications^*

Xicheng Zhang^*

^*此作品的通讯作者

Wuhan University

科研成果: 期刊稿件 › 文章 › 同行评审

17 引用（Scopus）

摘要

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.

源语言	英语
文章编号	131
期刊	Electronic Journal of Probability
卷	24
DOI	https://doi.org/10.1214/19-EJP390
出版状态	已出版 - 2019
已对外发布	是

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10.1214/19-EJP390

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引用此

Zhang, X. (2019). A discretized version of krylov’s estimate and its applications^* Electronic Journal of Probability, 24, 文章 131. https://doi.org/10.1214/19-EJP390

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AB - 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.

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KW - Propagation of chaos

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A discretized version of krylov’s estimate and its applications*

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引用此

A discretized version of krylov’s estimate and its applications^*