Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

We prove strong convergence of order [Formula: see text] for arbitrarily small [Formula: see text] of the Euler–Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference...

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Detalles Bibliográficos
Autores principales: Leobacher, Gunther, Szölgyenyi, Michaela
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2017
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5762869/
https://www.ncbi.nlm.nih.gov/pubmed/29375161
http://dx.doi.org/10.1007/s00211-017-0903-9

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5762869/
https://www.ncbi.nlm.nih.gov/pubmed/29375161
http://dx.doi.org/10.1007/s00211-017-0903-9

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