Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift

DOI10.1080/07362994.2022.2047726OpenAlexW4220898482MaRDI QIDQ6046011

Olivier Menoukeu Pamen, Unnamed Author, Moustapha Dieye

Publication date: 15 May 2023

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2022.2047726

zbMATH Keywords

Euler-Maruyama approximationKolmogorov backward equationunbounded drifts

Mathematics Subject Classification ID

Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX)

Cites Work

• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• A note on tamed Euler approximations
• Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift
• A note on Euler's approximations
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
• A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
• Regularization of differential equations by fractional noise.
• On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
• The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

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