Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients
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🧮 math.PR
math.STstat.TH
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approximationcoefficientcoefficientsconvergencedifferentialequationseuler-maruyamairregular
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We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is H\"older continuous.
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