Convergence Rate of Euler-Maruyama Scheme for SDEs with Rough Coefficients

Jianhai Bao; Xing Huang; Chenggui Yuan

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arXiv · 1609.06080

Convergence Rate of Euler-Maruyama Scheme for SDEs with Rough Coefficients

Jianhai Bao·Xing Huang·Chenggui Yuan

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Abstract

In this paper, we are concerned with convergence rate of Euler-Maruyama scheme for stochastic differential equations with rough coefficients. The key contributions lie in (i), by means of regularity of non-degenerate Kolmogrov equation, we investigate convergence rate of Euler-Maruyama scheme for a class of stochastic differential equations, which allow the drifts to be Dini-continuous and unbounded; (ii) by the aid of regularization properties of degenerate Kolmogrov equation, we discuss convergence rate of Euler-Maruyama scheme for a range of degenerate stochastic differential equations, where the drift is locally H\"older-Dini continuous of order $\frac{2}{3}$ with respect to the first component, and is merely Dini-continuous concerning the second component.

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BibTeX RIS

Jianhai Bao, Xing Huang, Chenggui Yuan. 2016-09-20. Convergence Rate of Euler-Maruyama Scheme for SDEs with Rough Coefficients. https://arxiv.org/abs/1609.06080

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