Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

DOI10.1016/j.cam.2017.05.015zbMath1370.65003OpenAlexW2208503610MaRDI QIDQ2012594

Kazuhiro Yasuda, Arturo Kohatsu-Higa, Antoine Lejay

Publication date: 1 August 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.05.015

zbMATH Keywords

stochastic differential equationregularizationMalliavin calculusEuler-Maruyama schemediscontinuous driftweak rate of convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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