On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time

DOI10.1016/J.JCO.2022.101695MaRDI QIDQ2099271zbMATHOpenAlexFDO

Authors Dai Taguchi

Publication date 23 November 2022

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jco.2022.101695

zbMATH Keywords

rate of convergencestochastic differential equationEuler-Maruyama schemeirregular diffusion coefficientAvikainen's inequalitySDEs with local time

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

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Cited in

(10)

• On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients
• Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process
• On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
• A new discretization scheme for one dimensional stochastic differential equations using time change method
• Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
• The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
• Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
• On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift

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