A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

István Gyöngy and Miklós Rásonyi

Stochastic Processes and their Applications, 2011, vol. 121, issue 10, 2189-2200

Abstract: We provide a rate for the strong convergence of Euler approximations for stochastic differential equations (SDEs) whose diffusion coefficient is not Lipschitz but only (1/2+[alpha])-Hölder continuous for some [alpha]>=0.

Keywords: Stochastic; differential; equation; Euler; scheme; Convergence; speed; Holder; continuous (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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