On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

We study the strong rates of the Euler-Maruyama approximation for one-dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and whose diffusion coefficient is Hölder continuous. In particular, we show that the strong rate of the Euler-Maruyama approximation is 1/2 for a large class of equations whose drift is not continuous. We also provide the strong rate for equations whose drift is Hölder continuous and diffusion is nonconstant.

Original languageEnglish
Pages (from-to)1864-1883
Number of pages20
JournalIMA Journal of Numerical Analysis
Volume37
Issue number4
DOIs
Publication statusPublished - Oct 1 2017
Externally publishedYes

Keywords

  • Euler-Maruyama approximation
  • Irregular coefficients
  • Stochastic differential equation
  • Strong rate of convergence

ASJC Scopus subject areas

  • Mathematics(all)
  • Computational Mathematics
  • Applied Mathematics

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