Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

DOI10.1090/mcom3042zbMath1334.60132arXiv1311.2725OpenAlexW1972241404MaRDI QIDQ2796019

Dai Taguchi, Hoang-Long Ngo

Publication date: 23 March 2016

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.2725

zbMATH Keywords

rate of convergencestochastic differential equationsstrong approximationEuler-Maruyama approximationirregular coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) 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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