Weak error for stable driven SDEs : expansion of the densities
نویسنده
چکیده
Consider a multidimensional SDE of the form Xt = x + ∫ t 0 b(Xs−)ds + ∫ t 0 f(Xs−)dZs where (Zs)s≥0 is a symmetric stable process. Under suitable assumptions on the coefficients the unique strong solution of the above equation admits a density w.r.t. the Lebesgue measure and so does its Euler scheme. Using a parametrix approach, we derive an error expansion w.r.t. the time step for the difference of these densities.
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تاریخ انتشار 2010