Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
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Publication:2796019
DOI10.1090/MCOM3042zbMATH Open1334.60132arXiv1311.2725OpenAlexW1972241404MaRDI QIDQ2796019
Author name not available (Why is that?)
Publication date: 23 March 2016
Published in: (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1311.2725
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