Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient

DOI10.1214/15-BJPS301zbMath1380.60062MaRDI QIDQ519728

Hoang-Long Ngo, Duc-Trong Luong

Publication date: 5 April 2017

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1485334823

zbMATH Keywords

stochastic differential equationstrong approximationEuler-Maruyama approximationHölder continuous diffusionirregular coefficientssuperlinearly growing drift

Mathematics Subject Classification ID

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

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