Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

2016/04/05 by Ngo, Hoang-Long, Taguchi, Dai
#41A25 #60C30 #60H35 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1604.01174

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.

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• The local coupling of noise technique and its application to lower error bounds for strong approximation of SDEs with irregular coefficients

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