Euler-Maruyama scheme for SDEs with Dini continuous coefficients

2020/09/27 by Zhen Wang, Miao Yu, Wang, Zhen +3
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Navier-Stokes equation solutions #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2009.12791

openalex publication_date 2020/09/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we show the convergence rate of Euler-Maruyama scheme for non-degenerate SDEs with Dini continuous coefficients, by the aid of the regularity of the solution to the associated Kolmogorov equation. We obtain the same conclusions using a simple and clever way to simplify the proof and weaken the conditions in \citeBHY by the properties of Dini continuous and Taylor expansion.

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