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.
Original language | English |
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Pages (from-to) | 102-112 |
Number of pages | 11 |
Journal | Mathematics and Computers in Simulation |
Volume | 161 |
DOIs | |
Publication status | Published - Jul 2019 |
Externally published | Yes |
Keywords
- Discontinuous drift coefficient
- Euler–Maruyama approximation
- Hölder continuous diffusion coefficient
- Rate of convergence
ASJC Scopus subject areas
- Theoretical Computer Science
- Computer Science(all)
- Numerical Analysis
- Modelling and Simulation
- Applied Mathematics