Euler-Maruyama scheme for SDEs with Dini continuous coefficients
Probability
2022-02-18 v4
Abstract
In this paper, we show the convergence rate of Euler-Maruyama scheme for non-degenerate SDEs with Dini continuous coefficients, by the aid of the regularity of the solution to the associated Kolmogorov equation. We obtain the same conclusions using a simple and clever way to simplify the proof and weaken the conditions in \cite{BHY} by the properties of Dini continuous and Taylor expansion.
Cite
@article{arxiv.2009.12791,
title = {Euler-Maruyama scheme for SDEs with Dini continuous coefficients},
author = {Zhen Wang and Yu Miao and RenJie},
journal= {arXiv preprint arXiv:2009.12791},
year = {2022}
}