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arXiv · 2009.12791

Euler-Maruyama scheme for SDEs with Dini continuous coefficients

Zhen Wang·Yu Miao·RenJie
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Abstract

In this paper, we show the convergence rate of Euler-Maruyama scheme for non-degenerate SDEs with Dini continuous coefficients, by the aid of the regularity of the solution to the associated Kolmogorov equation. We obtain the same conclusions using a simple and clever way to simplify the proof and weaken the conditions in \cite{BHY} by the properties of Dini continuous and Taylor expansion.

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Zhen Wang, Yu Miao, RenJie. 2020-09-27. Euler-Maruyama scheme for SDEs with Dini continuous coefficients. https://arxiv.org/abs/2009.12791

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