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

作者：Gyoengy Istvan; Rasonyi Miklos^*

来源：Stochastic Processes and Their Applications, 2011, 121(10): 2189-2200.

DOI：10.1016/j.spa.2011.06.008

• Stochastic differential equation
• Euler scheme
• Convergence speed
• Holder continuous

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 + alpha)-Holder continuous for some alpha >= 0.

• 出版日期2011-10