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Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient

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  • Menoukeu Pamen, Olivier
  • Taguchi, Dai

Abstract

In this paper, we consider a numerical approximation of the stochastic differential equation (SDE) Xt=x0+∫0tb(s,Xs)ds+Lt,x0∈Rd,t∈[0,T], where the drift coefficient b:[0,T]×Rd→Rd is Hölder continuous in both time and space variables and the noise L=(Lt)0≤t≤T is a d-dimensional Lévy process. We provide the rate of convergence for the Euler–Maruyama approximation when L is a Wiener process or a truncated symmetric α-stable process with α∈(1,2). Our technique is based on the regularity of the solution to the associated Kolmogorov equation.

Suggested Citation

  • Menoukeu Pamen, Olivier & Taguchi, Dai, 2017. "Strong rate of convergence for the Euler–Maruyama approximation of SDEs with Hölder continuous drift coefficient," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2542-2559.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:8:p:2542-2559
    DOI: 10.1016/j.spa.2016.11.008
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    References listed on IDEAS

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    1. Remigijus Mikulevicius & Eckhard Platen, 1991. "Rate of Convergence of the Euler Approximation for Diffusion Processes," Published Paper Series 1991-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Mikulevicius, Remigijus & Zhang, Changyong, 2011. "On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1720-1748, August.
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    Cited by:

    1. De Angelis, Tiziano & Germain, Maximilien & Issoglio, Elena, 2022. "A numerical scheme for stochastic differential equations with distributional drift," Stochastic Processes and their Applications, Elsevier, vol. 154(C), pages 55-90.
    2. Przybyłowicz, Paweł & Szölgyenyi, Michaela, 2021. "Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift," Applied Mathematics and Computation, Elsevier, vol. 403(C).
    3. Li, Libo & Taguchi, Dai, 2019. "On the Euler–Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 15-26.
    4. Ngo, Hoang-Long & Taguchi, Dai, 2019. "On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 161(C), pages 102-112.

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