Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

In this paper we study the strong convergence for the Euler–Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

Original languageEnglish
Pages (from-to)55-63
Number of pages9
JournalStatistics and Probability Letters
Volume125
DOIs
Publication statusPublished - Jun 1 2017
Externally publishedYes

Keywords

  • Discontinuous coefficients
  • Euler–Maruyama approximation
  • Stochastic differential equation
  • Strong rate of convergence

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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