A note on the weak rate of convergence for the Euler-Maruyama scheme with H\"older drift

MaRDI QIDQ6403165zbMATH OpenFDO

Authors Teodor Holland

Publication date 26 June 2022

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider SDEs with bounded and $alpha$-H"older continuous drift, with $alphain(0,1)$, driven by multiplicative noise. We show that under sufficient conditions on the diffusion matrix, which guarantee the existence of a unique strong solution, the weak rate of convergence for the Euler-Maruyama scheme is almost $(1+alpha)/2$. The present paper forms part of the author's master's thesis.

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