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.
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:5654 |
| Date | 01 1900 |
| Creators | Leobacher, Gunther, Szölgyenyi, Michaela |
| Publisher | Springer Nature |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Article, PeerReviewed |
| Format | application/pdf |
| Rights | Creative Commons: Attribution 4.0 International (CC BY 4.0) |
| Relation | https://doi.org/10.1007/s00211-017-0903-9, http://www.springernature.com/de/, http://epub.wu.ac.at/5654/ |
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