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.2022.101695zbMATH Open1504.65018OpenAlexW4284893844MaRDI QIDQ2099271FDOQ2099271

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

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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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