On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
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DOI：
10.1093/imanum/drw058
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发表时间：
2015-09
期刊：
影响因子：
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通讯作者：
H. Ngo;Daichi Taguchi
中科院分区：
文献类型：
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作者：
H. Ngo;Daichi Taguchi
研究了漂移系数既不连续也不单侧Lipschitz，扩散系数为保持器连续的一维随机微分方程的Euler-Maruyama逼近的强速度.特别地，我们证明了Euler-Maruyama逼近的强速率对于一类漂移不连续的方程是1/2。对于漂移为保持器连续且扩散为非常数的方程，我们也给出了强速率
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is Holder continuous. Especially, we show that the strong rate of the Euler-Maruyama approximation is 1/2 for a large class of equations whose drift is not continuous. We also provide the strong rate for equations whose drift is Holder continuous and diffusion is nonconstant