{
  "id": "1311.2725",
  "version": "v2",
  "published": "2013-11-12T09:50:49.000Z",
  "updated": "2014-04-10T10:12:58.000Z",
  "title": "Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients",
  "authors": [
    "Hoang-Long Ngo",
    "Dai Taguchi"
  ],
  "comment": "26 pages",
  "categories": [
    "math.PR",
    "math.ST",
    "stat.TH"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2014-04-10T10:12:58.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H35",
      "41A25",
      "60H10",
      "65C30"
    ],
    "keywords": [
      "euler-maruyama approximation",
      "irregular coefficients",
      "strong rate",
      "convergence",
      "multi-dimensional stochastic differential equations"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 26,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1311.2725N"
    }
  }
}