The Euler scheme with irregular coefficients
Yan, Liqing
Ann. Probab., Tome 30 (2002) no. 1, p. 1172-1194 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
Weak convergence of the Euler scheme for stochastic differential equations is established when coefficients are discontinuous on a set of Lebesgue measure zero. The rate of convergence is presented when coefficients are Hölder continuous. Monte Carlo simulations are also discussed.
Publié le : 2002-07-14
Classification:  Euler scheme,  stochastic differential equations,  weak convergence,  rate of convergence,  Monte Carlo simulations,  60H10,  60H35,  60H10,  60H35,  65C05,  60F05,  68U20,  65C05,  60F05,  68U20 
@article{1029867124,
     author = {Yan, Liqing},
     title = {The Euler scheme with irregular coefficients},
     journal = {Ann. Probab.},
     volume = {30},
     number = {1},
     year = {2002},
     pages = { 1172-1194},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029867124}
}

Yan, Liqing. The Euler scheme with irregular coefficients. Ann. Probab., Tome 30 (2002) no. 1, pp.  1172-1194. http://gdmltest.u-ga.fr/item/1029867124/