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.
- Discontinuous coefficients
- Euler–Maruyama approximation
- Stochastic differential equation
- Strong rate of convergence
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty