On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients-Reference-Cited by-同舟云学术

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On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients

Published:2025-02 Issue:1 Volume:542 Page:128788
ISSN:0022-247X
Container-title:Journal of Mathematical Analysis and Applications
language:en
Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Mickel Annalena,Neuenkirch Andreas

Funder

DFG

Publisher

Elsevier BV

Reference46 articles.

1. Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts;Bao;J. Theor. Probab.,2019

2. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence;Berkaoui;ESAIM, Probab. Stat.,2008

3. Time dependent Heston model;Benhamou;SIAM J. Financ. Math.,2010

4. An empirical comparison of alternative models of the short-term interest rate;Chan;J. Finance,1992

5. Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process;Cozma;IMA J. Numer. Anal.,2018

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients;Numerical Algorithms;2024-09-04

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