Title:
A numerical scheme for multidimensional SDEs with distributional drift
Abstract:
This talk focuses on a multidimensional SDE where the drift is an element of a fractional Sobolev space with negative order, hence a distribution. This SDE admits a unique weak solution in a suitable sense – this was proven in [Flandoli, Issoglio, Russo TAMS (2017)]. The aim here is to construct a numerical scheme to approximate this solution. One of the key problems is that the drift cannot be evaluated pointwise, hence we approximate it with suitable functions using Haar wavelets, and then apply (an extended version of) Euler-Maruyama scheme. We then show that the algorithm converges in law, and in the special 1-dimensional case we also get a rate of convergence.
This talk is based on a joint work with T. De Angelis and M. Germain, arXiv:1906.11026.