Estimate of Heat Kernel for Euler-Maruyama Scheme of SDEs Driven by {\alpha}-Stable Noise and Applications

Abstract

In this paper, the discrete parameter expansion is adopted to investigate the estimation of heat kernel for Euler-Maruyama scheme of SDEs driven by {\alpha}-stable noise, which implies krylov's estimate and khasminskii's estimate. As an application, the convergence rate of Euler-Maruyama scheme of a class of multidimensional SDEs with singular drift( in aid of Zvonkin's transformation) is obtained.Comment: 22page