Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

Hoang-Long Ngo; Dai Taguchi

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arXiv · 1604.01174

Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

Hoang-Long Ngo·Dai Taguchi

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Abstract

In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

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Hoang-Long Ngo, Dai Taguchi. 2016-04-05. Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients. https://arxiv.org/abs/1604.01174

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