Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
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Publication:1692306
degenerate diffusiondiscontinuous driftEuler-Maruyama methodstochastic differential equationsstrong convergence rate
Ordinary differential equations and systems with randomness (34F05) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Abstract: We prove strong convergence of order for arbitrarily small of the Euler-Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference between the Euler-Maruyama scheme and another numerical method, which is constructed by applying the Euler-Maruyama scheme to a transformation of the SDE we aim to solve.
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