On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
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Cites work
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- scientific article; zbMATH DE number 2034520 (Why is no real title available?)
- scientific article; zbMATH DE number 939851 (Why is no real title available?)
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
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- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- Loss of regularity for Kolmogorov equations
- On a symmetrization of diffusion processes
- On irregular functionals of SDEs and the Euler scheme
- On non-polynomial lower error bounds for adaptive strong approximation of SDEs
- On some non asymptotic bounds for the Euler scheme
- On stochastic differential equations with arbitrary slow convergence rates for strong approximation
- On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
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- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- The Cantor function
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Cited in
(7)- Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications
- A Euler-Maruyama's approximate solutions of stochastic differential equations under Hölder-type conditions
- On the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift
- Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Hölder continuous diffusion coefficients
- Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
- On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
- On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
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