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

By Hoang-Long Ngo, Daichi Taguchi. 2016

49 citations recorded by the source corpus.

In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

Subfields: Computational Theory and Mathematics, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/f9558ea2f034db68afc9abab5d4356facdefac68

Citations in the corpus

• The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem (2019, unknown): “, [12, 21, 13, 22, 23, 14, 19, 16].”