Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
Probability
2016-09-02 v2
Abstract
In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.
Keywords
Cite
@article{arxiv.1604.01174,
title = {Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients},
author = {Hoang-Long Ngo and Dai Taguchi},
journal= {arXiv preprint arXiv:1604.01174},
year = {2016}
}
Comments
13 pages