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

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])-Hölder continuous for some [alpha]>=0.

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Year of publication:	2011
Authors:	Gyöngy, István ; Rásonyi, Miklós
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 121.2011, 10, p. 2189-2200
Publisher:	Elsevier
Keywords:	Stochastic differential equation Euler scheme Convergence speed Holder continuous

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009249957