The Euler scheme with irregular coefficients

• 成果类型: Article
• 署名作者: Yan, LQ
• 署名单位: University of British Columbia
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2002
• 页码: 1172-1194
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS

摘要

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 Holder continuous. Monte Carlo simulations are also discussed.