Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations with Irregular Coefficients

Abstract

We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a one-sided Lipschitz condition and the diffusion coefficient is Hölder continuous.

26 pages

References in corpus (1)

• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients