On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients

Hoang-Long Ngo and Dai Taguchi

Mathematics and Computers in Simulation (MATCOM), 2019, vol. 161, issue C, 102-112

Abstract: We consider the strong rate of convergence of the Euler–Maruyama approximation for stochastic differential equations with possibly discontinuous drift and Hölder continuous diffusion coefficient. In particular, we show that the rates obtained in some recent papers can be improved under an additional assumption that the diffusion coefficient is of bounded variation.

Keywords: Euler–Maruyama approximation; Discontinuous drift coefficient; Hölder continuous diffusion coefficient; Rate of convergence (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:161:y:2019:i:c:p:102-112

DOI: 10.1016/j.matcom.2019.01.012

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