On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Probability
2016-07-21 v2
Abstract
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is H\"older continuous. Especially, we show that the strong rate of the Euler-Maruyama approximation is 1/2 for a large class of equations whose drift is not continuous. We also provide the strong rate for equations whose drift is H\"older continuous and diffusion is nonconstant
Cite
@article{arxiv.1509.06532,
title = {On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients},
author = {Hoang-Long Ngo and Dai Taguchi},
journal= {arXiv preprint arXiv:1509.06532},
year = {2016}
}
Comments
23 pages