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Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients

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  • Ngo, Hoang-Long
  • Taguchi, Dai

Abstract

In this paper we study the strong convergence for the Euler–Maruyama approximation of a class of stochastic differential equations whose both drift and diffusion coefficients are possibly discontinuous.

Suggested Citation

  • Ngo, Hoang-Long & Taguchi, Dai, 2017. "Strong convergence for the Euler–Maruyama approximation of stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 55-63.
    • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:55-63
    DOI: 10.1016/j.spl.2017.01.027
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    References listed on IDEAS

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    1. Jirô Akahori & Yuri Imamura, 2014. "On a symmetrization of diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1211-1216, July.
    2. Chan, K. S. & Stramer, O., 1998. "Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 33-44, August.
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    Cited by:

    1. Peng, Ling & Kloeden, Peter E., 2021. "Time-consistent portfolio optimization," European Journal of Operational Research, Elsevier, vol. 288(1), pages 183-193.
    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. Gao, Xiangyu & Liu, Yi & Wang, Yanxia & Yang, Hongfu & Yang, Maosong, 2021. "Tamed-Euler method for nonlinear switching diffusion systems with locally Hölder diffusion coefficients," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    4. Ngo, Hoang Long & Luong, Duc Trong, 2019. "Tamed Euler–Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 133-140.
    5. 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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