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2019 A discretized version of Krylov’s estimate and its applications
Xicheng Zhang
Electron. J. Probab. 24(none): 1-17 (2019). DOI: 10.1214/19-EJP390

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

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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

Information

Received: 11 August 2019; Accepted: 5 November 2019; Published: 2019
First available in Project Euclid: 12 November 2019

zbMATH: 07142925
MathSciNet: MR4040991
Digital Object Identifier: 10.1214/19-EJP390

Subjects:
Primary: 60H10

JOURNAL ARTICLE
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Vol.24 • 2019
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