A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
AbstractWe 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+[alpha])-Hölder continuous for some [alpha]>=0.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 10 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Griselda Deelstra & Freddy Delbaen, 1998. "Convergence of discretised stochastic interest rate: processes with stochastic drift term," ULB Institutional Repository 2013/7584, ULB -- Universite Libre de Bruxelles.
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