Euler approximation for SDEs with irregular drift
A talk in the Keine Reihe series by
Zimo Hao
| Abstract: | This talk is concerned with two different types of SDEs with irregular drift. In the first work, weshow the existence and uniqueness for a class of density dependent SDEs with bounded measurabledrift, where the existence part is based on Euler’s approximation for density dependent SDEs andthe uniqueness is based on the associated nonlinear Fokker-Planck equation. As an application, weobtain the well- posedness of a nonlinear Fokker-Planck equation. (This is a joint work withMichael Röckner and Xicheng Zhang). In the second work, we use Schauder’s estimates to obtainthe rate of convergence of strong Euler approximation for SDEs driven by cylindrical alpha-stableprocesses with Hölder drift. (This is a joint wrok with Mingyan Wu).
This talk takes place within the retreat of the CRC 1283. All members of the CRC are invited to attend. Please contact ckoehler@math.uni-bielefeld.de for Zoom-Link, Meeting-ID and Password. |