Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

DOI10.1016/j.spl.2017.01.027zbMath1386.60242arXiv1604.01174OpenAlexW2964117383MaRDI QIDQ2407763

Hoang-Long Ngo, Dai Taguchi

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01174

zbMATH Keywords

stochastic differential equationdiscontinuous coefficientsEuler-Maruyama approximationstrong rate of convergence

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

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