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.
Citation
Xicheng Zhang. "A discretized version of Krylov’s estimate and its applications." Electron. J. Probab. 24 1 - 17, 2019. https://doi.org/10.1214/19-EJP390
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