Approximation for non-smooth functionals of stochastic differential equations with irregular drift

Hoang-Long Ngo; Dai Taguchi

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arXiv · 1505.03600

Approximation for non-smooth functionals of stochastic differential equations with irregular drift

Hoang-Long Ngo·Dai Taguchi

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Abstract

This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to obtain the rates of approximation for the expectation of various non-smooth functionals of both stochastic differential equations and killed diffusion. We also apply our method to the study of the weak approximation of reflected stochastic differential equations whose drift is H\"older continuous.

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BibTeX RIS

Hoang-Long Ngo, Dai Taguchi. 2015-05-14. Approximation for non-smooth functionals of stochastic differential equations with irregular drift. https://arxiv.org/abs/1505.03600

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