Strong convergence of the tamed Euler scheme for scalar SDEs with superlinearly growing and discontinuous drift coefficient

MaRDI QIDQ6400734zbMATH OpenFDO

Authors Huimin Hu, Siqing Gan

Publication date 10 May 2022

Abstract: In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the classical $L_p$-error rate 1/2 for all $pin[1,+infty)$ is recovered for the tamed Euler scheme. A numerical example is provided to support our conclusion.

This page was built for publication: Strong convergence of the tamed Euler scheme for scalar SDEs with superlinearly growing and discontinuous drift coefficient

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6400734)