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

DOI10.1016/J.MATCOM.2019.01.012OpenAlexW2914727738MaRDI QIDQ1997564FDOQ1997564

Authors: H. L. Ngo, Dai Taguchi 

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

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zbMATH Keywords

rate of convergenceEuler-Maruyama approximationdiscontinuous drift coefficientHölder continuous diffusion coefficient

Mathematics Subject Classification ID

Stochastic analysis (60Hxx)

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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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