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Article Dans Une Revue Journal of Theoretical Probability Année : 2011

Weak Error for stable driven SDEs: expansion of the densities

Résumé

Consider a multidimensional SDE of the form $X_t = x+\int_{0}^{t} b(X_{s-})ds+\int{0}^{t} f(X_{s-})dZ_s$ where $(Z_s)_{s\ge 0}$ 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 at order 1 w.r.t. the time step for the difference of these densities.
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Dates et versions

hal-00331845 , version 1 (17-10-2008)
hal-00331845 , version 2 (09-06-2009)
hal-00331845 , version 3 (22-01-2010)

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Citer

Valentin Konakov, Stephane Menozzi. Weak Error for stable driven SDEs: expansion of the densities. Journal of Theoretical Probability, 2011, 24 (2), pp.454-478. ⟨hal-00331845v3⟩
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