On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients

DOI10.1016/j.matcom.2019.01.012OpenAlexW2914727738MaRDI QIDQ1997564

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2019.01.012

zbMATH Keywords

rate of convergence Euler-Maruyama approximation discontinuous drift coefficient Hölder continuous diffusion coefficient

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

Related Items (1)

Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type

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