Abstract
We provide a rate for the strong convergence of Euler approximations for stochastic differential equations (SDEs) whose diffusion coefficient is not Lipschitz but only (1/2+α)-Hölder continuous for some α≥0.
Original language | English |
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Pages (from-to) | 2189-2200 |
Number of pages | 12 |
Journal | Stochastic processes and their applications |
Volume | 121 |
Issue number | 10 |
DOIs | |
Publication status | Published - Oct 2011 |
Keywords
- Stochastic differential equation
- Euler scheme
- Convergence speed
- Holder continuous
- CONVERGENCE