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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Detalles Bibliográficos

Autor principal:	Yuan Yu
Formato:	Artigo
Lenguaje:	Inglês
Publicado:	MDPI AG 2024-03-01
Colección:	Entropy
Materias:	relative entropy Euler–Maruyama scheme Girsanov’s transform Hölder continuity weighted variation distance
Acceso en línea:	https://www.mdpi.com/1099-4300/26/3/232
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