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Euler-Maruyama approximation for SDEs with irregular coefficients

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Speaker: 

Dai Taguchi

Affiliation: 

Ritsumeikan University

Date: 

Fri, 05/08/2016 - 4:00pm

Venue: 

RC M032, The Red Centre, UNSW

Abstract: 

In this talk, we consider the Euler-Maruyama approximation for one-dimensional stochastic differential equations. We provide the strong rate of convergence when the drift coefficient is the sum of a bounded variation function on compact sets and a H\"older continuous function, and the diffusion coefficient is a H\"older continuous function.

School Seminar Series: 


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