Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients

Hoang-Long Ngo; Dai Taguchi

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arXiv · 1311.2725

Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients

Hoang-Long Ngo·Dai Taguchi

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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 Hölder continuous.

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BibTeX RIS

Hoang-Long Ngo, Dai Taguchi. 2014-04-10. Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients. https://arxiv.org/abs/1311.2725

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