Strong convergence rate of Euler-Maruyama approximations in temporal-spatial Hölder-norms

Abstract

Classical approximation results for stochastic differential equations analyze the $L^p$-distance between the exact solution and its Euler-Maruyama approximations. In this article we measure the error with temporal-spatial Hölder-norms. Our motivation for this are multigrid approximations of the exact solution viewed as a function of the starting point. We establish the classical strong convergence rate $0.5$ with respect to temporal-spatial Hölder-norms if the coefficient functions have bounded derivatives of first and second order.

arXiv comment22 pages, 2 figure

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