A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

I. Gyongy; M. Rasonyi

doi:10.1016/j.spa.2011.06.008

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

I. Gyongy, M. Rasonyi

School of Mathematics

Research output: Contribution to journal › Article › peer-review

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
Pages (from-to)	2189-2200
Number of pages	12
Journal	Stochastic processes and their applications
Volume	121
Issue number	10
DOIs	https://doi.org/10.1016/j.spa.2011.06.008
Publication status	Published - Oct 2011

Keywords

Stochastic differential equation
Euler scheme
Convergence speed
Holder continuous
CONVERGENCE

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10.1016/j.spa.2011.06.008

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficientsAccepted author manuscript, 288 KB

http://www.sciencedirect.com/science/article/pii/S030441491100144X

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title = "A note on Euler approximations for SDEs with H{\"o}lder continuous diffusion coefficients",

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)-H{\"o}lder continuous for some α≥0.",

keywords = "Stochastic differential equation, Euler scheme, Convergence speed, Holder continuous, CONVERGENCE",

author = "I. Gyongy and M. Rasonyi",

year = "2011",

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doi = "10.1016/j.spa.2011.06.008",

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AU - Gyongy, I.

AU - Rasonyi, M.

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N2 - 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.

AB - 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.

KW - Stochastic differential equation

KW - Euler scheme

KW - Convergence speed

KW - Holder continuous

KW - CONVERGENCE

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U2 - 10.1016/j.spa.2011.06.008

DO - 10.1016/j.spa.2011.06.008

M3 - Article

VL - 121

SP - 2189

EP - 2200

JO - Stochastic processes and their applications

JF - Stochastic processes and their applications

SN - 0304-4149

IS - 10

ER -

A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

Abstract

Keywords

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