Brazilian Journal of Probability and Statistics

Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient

Hoang-Long Ngo and Duc-Trong Luong

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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.

Article information

Source
Braz. J. Probab. Stat., Volume 31, Number 1 (2017), 24-40.

Dates
Received: January 2015
Accepted: September 2015
First available in Project Euclid: 25 January 2017

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1485334823

Digital Object Identifier
doi:10.1214/15-BJPS301

Mathematical Reviews number (MathSciNet)
MR3601659

Zentralblatt MATH identifier
1380.60062

Keywords
Stochastic differential equation irregular coefficients Euler–Maruyama approximation Hölder continuous diffusion strong approximation superlinearly growing drift

Citation

Ngo, Hoang-Long; Luong, Duc-Trong. Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient. Braz. J. Probab. Stat. 31 (2017), no. 1, 24--40. doi:10.1214/15-BJPS301. https://projecteuclid.org/euclid.bjps/1485334823


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