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arXiv:1311.2725 [math.PR]AbstractReferencesReviewsResources

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

Hoang-Long Ngo, Dai Taguchi

Published 2013-11-12, updated 2014-04-10Version 2

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 H\"older continuous.

Comments: 26 pages
Categories: math.PR, math.ST, stat.TH
Subjects: 60H35, 41A25, 60H10, 65C30
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