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

Hoang Long Ngo; Dai Taguchi

doi:10.1016/j.spl.2017.01.027

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

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journal › Article › peer-review

26 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 language	English
Pages (from-to)	55-63
Number of pages	9
Journal	Statistics and Probability Letters
Volume	125
DOIs	https://doi.org/10.1016/j.spl.2017.01.027
Publication status	Published - Jun 1 2017
Externally published	Yes

Keywords

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

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1016/j.spl.2017.01.027

Cite this

@article{f1509fc7517048748a9b5c2cd3676f1d,

title = "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients",

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.",

keywords = "Discontinuous coefficients, Euler–Maruyama approximation, Stochastic differential equation, Strong rate of convergence",

author = "Ngo, {Hoang Long} and Dai Taguchi",

year = "2017",

month = jun,

day = "1",

doi = "10.1016/j.spl.2017.01.027",

language = "English",

volume = "125",

pages = "55--63",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

}

TY - JOUR

T1 - Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients

AU - Ngo, Hoang Long

AU - Taguchi, Dai

PY - 2017/6/1

Y1 - 2017/6/1

N2 - 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.

AB - 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.

KW - Discontinuous coefficients

KW - Euler–Maruyama approximation

KW - Stochastic differential equation

KW - Strong rate of convergence

UR - http://www.scopus.com/inward/record.url?scp=85012273261&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85012273261&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2017.01.027

DO - 10.1016/j.spl.2017.01.027

M3 - Article

AN - SCOPUS:85012273261

SN - 0167-7152

VL - 125

SP - 55

EP - 63

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this