TY - JOUR
T1 - On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
AU - Ngo, Hoang Long
AU - Taguchi, Dai
N1 - Funding Information:
This work was supported by JSPS KAKENHI under Grant Numbers 16J00894 and 17H06833 and by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under Grant Number 101.03-2017.316 .
Publisher Copyright:
© 2019 International Association for Mathematics and Computers in Simulation (IMACS)
PY - 2019/7
Y1 - 2019/7
N2 - 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.
AB - 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.
KW - Discontinuous drift coefficient
KW - Euler–Maruyama approximation
KW - Hölder continuous diffusion coefficient
KW - Rate of convergence
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U2 - 10.1016/j.matcom.2019.01.012
DO - 10.1016/j.matcom.2019.01.012
M3 - Article
AN - SCOPUS:85062063630
VL - 161
SP - 102
EP - 112
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
SN - 0378-4754
ER -