We are interested in the Euler-Maruyama dicretization of the SDE dXt =b(t,Xt)dt+ dZt, X0 =x$\in$Rd, where Zt is a symmetric isotropic d-dimensional $\alpha$-stable process, $\alpha$ $\in$ (1, 2] and the drift b $\in$ L$\infty$ ([0,T],C$\beta$(Rd,Rd)), $\beta$ $\in$ (0,1), is bounded and H{ \"o}lder regular in space. Using an Euler scheme with a randomization of the time variable, we show that, denoting $\gamma$\,:= $\alpha$ + $\beta$ -- 1, the weak error on densities related to this discretization converges at the rate $\gamma$/$\alpha$.
Categories: math.NA cs.NA math.PR