A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
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+[alpha])-Hölder continuous for some [alpha]>=0.
Volume (Year): 121 (2011)
Issue (Month): 10 (October)
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- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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