Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155861 | Stochastic Processes and their Applications | 2011 | 12 Pages |
Abstract
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+α)(1/2+α)-Hölder continuous for some α≥0α≥0.
► The Euler scheme for stochastic differential equations is considered.► The diffusion coefficient is assumed only Hölder continuous, and not Lipschitz.► Estimates for the moments of the error of the approximation scheme are provided.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
István Gyöngy, Miklós Rásonyi,