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math.PR2015★ 24 cited
On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients
Hoang-Long Ngo, Dai Taguchi
We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided…
math.PR2015
Approximation for non-smooth functionals of stochastic differential equations with irregular drift
Hoang-Long Ngo, Dai Taguchi
This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and c…