Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

Ngo, Hoang-Long; Taguchi, Dai

doi:10.1090/mcom3042

Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
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by Hoang-Long Ngo and Dai Taguchi PDF

Math. Comp. 85 (2016), 1793-1819 Request permission

Abstract:

We consider the Euler-Maruyama approximation for multi-dimen- sional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is Hölder continuous and uniformly elliptic.

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