Article ID Journal Published Year Pages File Type
5129808 Statistics & Probability Letters 2017 9 Pages PDF
Abstract

In this paper we study the strong convergence for the Euler-Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
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