Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journalArticle

26 Citations (Scopus)

Abstract

We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is Hölder continuous and uniformly elliptic.

Original languageEnglish
Pages (from-to)1793-1819
Number of pages27
JournalMathematics of Computation
Volume85
Issue number300
DOIs
Publication statusPublished - Jan 1 2016
Externally publishedYes

Fingerprint

Stochastic Equations
Euler
Irregular
Rate of Convergence
Differential equations
Differential equation
Lipschitz condition
Coefficient
Approximation
Strong Convergence
Diffusion Coefficient

Keywords

  • Euler-Maruyama approximation
  • Irregular coefficient
  • Rate of convergence
  • Stochastic differential equation
  • Strong approximation

ASJC Scopus subject areas

  • Algebra and Number Theory
  • Computational Mathematics
  • Applied Mathematics

Cite this

Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients. / Ngo, Hoang Long; Taguchi, Dai.

In: Mathematics of Computation, Vol. 85, No. 300, 01.01.2016, p. 1793-1819.

Research output: Contribution to journalArticle

@article{3c72562c0a7d4066985710c3ef02f0d9,
title = "Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients",
abstract = "We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is H{\"o}lder continuous and uniformly elliptic.",
keywords = "Euler-Maruyama approximation, Irregular coefficient, Rate of convergence, Stochastic differential equation, Strong approximation",
author = "Ngo, {Hoang Long} and Dai Taguchi",
year = "2016",
month = "1",
day = "1",
doi = "10.1090/mcom3042",
language = "English",
volume = "85",
pages = "1793--1819",
journal = "Mathematics of Computation",
issn = "0025-5718",
publisher = "American Mathematical Society",
number = "300",

}

TY - JOUR

T1 - Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

AU - Ngo, Hoang Long

AU - Taguchi, Dai

PY - 2016/1/1

Y1 - 2016/1/1

N2 - We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is Hölder continuous and uniformly elliptic.

AB - We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is Hölder continuous and uniformly elliptic.

KW - Euler-Maruyama approximation

KW - Irregular coefficient

KW - Rate of convergence

KW - Stochastic differential equation

KW - Strong approximation

UR - http://www.scopus.com/inward/record.url?scp=84961795005&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84961795005&partnerID=8YFLogxK

U2 - 10.1090/mcom3042

DO - 10.1090/mcom3042

M3 - Article

AN - SCOPUS:84961795005

VL - 85

SP - 1793

EP - 1819

JO - Mathematics of Computation

JF - Mathematics of Computation

SN - 0025-5718

IS - 300

ER -