Convergence rate of the EM algorithm for SDEs with low regular drifts

DOI10.1017/jpr.2021.56zbMath1496.60061OpenAlexW4283361782MaRDI QIDQ5087000

Jianhai Bao, Xing Huang, Shao-Qin Zhang

Publication date: 8 July 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2021.56

zbMATH Keywords

Euler-Maruyama approximationKrylov's estimateZvonkin's transformlow regular drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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