Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient

DOI10.1016/j.spa.2016.11.008zbMath1367.60090arXiv1508.07513OpenAlexW2964246490MaRDI QIDQ2360241

Dai Taguchi, Olivier Menoukeu Pamen

Publication date: 30 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07513

zbMATH Keywords

stochastic differential equationconvergence rateLévy processstrong approximationEuler-Maruyama approximationHölder continuous drifttruncated symmetric \(\alpha\)-stable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25) Stable stochastic processes (60G52)

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