On the weak rate of convergence for the Euler-Maruyama scheme with Holder drift

被引：2

作者：

Holland, Teodor ^{[1
]}

机构：

[1] Univ Leeds, Woodhouse, Leeds LS2 9JT, W Yorkshire, England

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2024年 / 174卷

关键词：

Regularisation by noise; Euler-Maruyama scheme; Weak convergence; DISCONTINUOUS DRIFT; SDES; APPROXIMATION;

D O I：

10.1016/j.spa.2024.104379

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider stochastic differential equations with bounded alpha-Holder continuous drift, with alpha is an element of (0, 1), driven by multiplicative noise. We moreover assume that the diffusion coefficient is uniformly elliptic and bounded, with bounded first and second order partial derivatives. We show that the weak rate of convergence for the Euler-Maruyama scheme is arbitrarily close to (1 + alpha)/2.

引用

页数：16

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