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

arXiv2206.00088MaRDI QIDQ6400734FDOQ6400734

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)