Article ID Journal Published Year Pages File Type
1155861 Stochastic Processes and their Applications 2011 12 Pages PDF
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)
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