arXiv:1610.07047 Abstract | arXiv Analytics

arXiv:1610.07047 [math.NA]Abstract References Reviews Resources

Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

Published 2016-10-22Version 1

We prove strong convergence of order 1/5 of the Euler-Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference between the Euler-Maruyama scheme and another numerical method, which is constructed by applying the Euler-Maruyama scheme to a transformation of the SDE we aim to solve.

Categories: math.NA, math.PR

Subjects: 60H10, 65C30, 65C20, 65L20

Keywords: degenerate diffusion coefficient, euler-maruyama method, discontinuous drift, multidimensional sdes, euler-maruyama scheme

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