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 language | English |
|---|---|
| Pages (from-to) | 1793-1819 |
| Number of pages | 27 |
| Journal | Mathematics of Computation |
| Volume | 85 |
| Issue number | 300 |
| DOIs | |
| Publication status | Published - 2016 |
| Externally published | Yes |
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
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