A note on the rate of convergence of the Euler-Maruyama method for stochastic differential equations

Mao, X. and Yuan, C. (2008) A note on the rate of convergence of the Euler-Maruyama method for stochastic differential equations. Stochastic Analysis and Applications, 26 (2). pp. 325-333. ISSN 0736-2994

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Official URL: http://dx.doi.org/10.1080/07362990701857251

Abstract

The recent article [2] reveals the strong convergence of the Euler-Maruyama solution to the exact solution of a stochastic differential equation under the local Lipschitz condition. However, it does not provide us with an order of convergence. In this note, we will show the rate of convergence still under the local Lipschitz condition, but the local Lipschitz constants of the drift coefficient, valid on balls of radius R, are supposed not to grow faster than log R while those of the diffusion coefficient are not than.

Creators(s):	Mao, X. ORCID: https://orcid.org/0000-0002-6768-9864 and Yuan, C.;
Item type:	Article
ID code:	14042
Keywords:	brownian motion, euler-maruyama method, lipschitz condition, differential equations, Mathematics, Applied Mathematics, Statistics and Probability, Statistics, Probability and Uncertainty
Subjects:	Science > Mathematics
Department:	Faculty of Science > Mathematics and Statistics
Depositing user:	Mrs Carolynne Westwood
Date deposited:	11 Jan 2010 16:59
Last modified:	15 Jan 2021 03:51
URI:	https://strathprints.strath.ac.uk/id/eprint/14042
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