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arxiv: 1311.2725 · v2 · pith:TXECLO3Unew · submitted 2013-11-12 · 🧮 math.PR · math.ST· stat.TH

Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients

classification 🧮 math.PR math.STstat.TH
keywords 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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