A note on the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift

2022/06/26 by Holland, Teodor
#60H10 #65C30 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2206.12830

Abstract

We consider SDEs with bounded and α-Hölder continuous drift, with α∈ (0,1), driven by multiplicative noise. We show that under sufficient conditions on the diffusion matrix, which guarantee the existence of a unique strong solution, the weak rate of convergence for the Euler-Maruyama scheme is almost (1+α)/2. The present paper forms part of the author's master's thesis.

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