Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients
Probability
2014-04-11 v2 Statistics Theory
Statistics Theory
Abstract
We consider the Euler-Maruyama approximation for multi-dimensional 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 H\"older continuous.
Keywords
Cite
@article{arxiv.1311.2725,
title = {Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients},
author = {Hoang-Long Ngo and Dai Taguchi},
journal= {arXiv preprint arXiv:1311.2725},
year = {2014}
}
Comments
26 pages