OUP accepted manuscript
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Publication:4683810
DOI10.1093/IMANUM/DRW058zbMATH Open1433.65012arXiv1509.06532OpenAlexW2962735134MaRDI QIDQ4683810
Author name not available (Why is that?)
Publication date: 26 September 2018
Published in: (Search for Journal in Brave)
Abstract: We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is H"older continuous. Especially, we show that the strong rate of the Euler-Maruyama approximation is 1/2 for a large class of equations whose drift is not continuous. We also provide the strong rate for equations whose drift is H"older continuous and diffusion is nonconstant
Full work available at URL: https://arxiv.org/abs/1509.06532
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