Abstract
We study the strong rate of convergence of the tamed Euler–Maruyama approximation for one-dimensional stochastic differential equations with superlinearly growing drift and Hölder continuous diffusion coefficients.
Citation
Hoang-Long Ngo. Duc-Trong Luong. "Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient." Braz. J. Probab. Stat. 31 (1) 24 - 40, February 2017. https://doi.org/10.1214/15-BJPS301
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