Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
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Publication:1741886
DOI10.1007/s10959-018-0854-9zbMath1433.60072arXiv1609.06080OpenAlexW2888828045MaRDI QIDQ1741886
Xing Huang, Jianhai Bao, Chenggui Yuan
Publication date: 7 May 2019
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.06080
convergence rateKolmogorov equationEuler-Maruyama schemedegenerate stochastic differential equationHölder-Dini continuity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Rate of convergence, degree of approximation (41A25)
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