Title of article :
A note on Euler approximations for SDEs with Hِlder continuous diffusion coefficients
Author/Authors :
Gyِngy، نويسنده , , Istvلn and Rلsonyi، نويسنده , , Miklَs، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
We provide a rate for the strong convergence of Euler approximations for stochastic differential equations (SDEs) whose diffusion coefficient is not Lipschitz but only ( 1 / 2 + α ) -Hölder continuous for some α ≥ 0 .
Keywords :
stochastic differential equation , Euler scheme , Convergence Speed , Hِlder continuous
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
