A note on Euler approximations for SDEs with Holder continuous diffusion coefficients

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Rasonyi, Miklos¹ 

[1] Univ Edinburgh, Maxwell Inst, Edinburgh EH9 3JZ, Midlothian, Scotland

关键词: Stochastic differential equation;    Euler scheme;    Convergence speed;    Holder continuous;   

DOI  :  10.1016/j.spa.2011.06.008

来源: Elsevier

【 摘 要 】

We provide a rate for the strong convergence of Euler approximations for stochastic differential equations (SDEs) whose diffusion coefficient is not Lipschitz but only (1/2 + alpha)-Holder continuous for some alpha >= 0. (C) 2011 Elsevier B.V. All rights reserved.

【 授权许可】

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