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

We prove strong convergence of order 1/4 - E for arbitrarily small E > 0 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 between the Euler-Maruyama scheme and another
numerical method, which is constructed by applying the Euler-Maruyama scheme to
a transformation of the SDE we aim to solve.

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5654
Date01 1900
CreatorsLeobacher, Gunther, Szölgyenyi, Michaela
PublisherSpringer Nature
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypeArticle, PeerReviewed
Formatapplication/pdf
RightsCreative Commons: Attribution 4.0 International (CC BY 4.0)
Relationhttps://doi.org/10.1007/s00211-017-0903-9, http://www.springernature.com/de/, http://epub.wu.ac.at/5654/

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