{
  "id": "2206.12830",
  "version": "v1",
  "published": "2022-06-26T09:28:20.000Z",
  "updated": "2022-06-26T09:28:20.000Z",
  "title": "A note on the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift",
  "authors": [
    "Teodor Holland"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We consider SDEs with bounded and $\\alpha$-H\\\"older continuous drift, with $\\alpha \\in (0,1)$, driven by multiplicative noise. We show that under sufficient conditions on the diffusion matrix, which guarantee the existence of a unique strong solution, the weak rate of convergence for the Euler-Maruyama scheme is almost $(1+\\alpha)/2$. The present paper forms part of the author's master's thesis.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2022-06-26T09:28:20.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "65C30"
    ],
    "keywords": [
      "euler-maruyama scheme",
      "weak rate",
      "hölder drift",
      "convergence",
      "unique strong solution"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}