Convergence of Relative Entropy for Euler–Maruyama Scheme to Stochastic Differential Equations with Additive Noise

For a family of stochastic differential equations driven by additive Gaussian noise, we study the asymptotic behaviors of its corresponding Euler–Maruyama scheme by deriving its convergence rate in terms of relative entropy. Our results for the convergence rate in terms of relative entropy complemen...

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Autor principal:	Yuan Yu
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2024-03-01
Col·lecció:	Entropy
Matèries:	relative entropy Euler–Maruyama scheme Girsanov’s transform Hölder continuity weighted variation distance
Accés en línia:	https://www.mdpi.com/1099-4300/26/3/232
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