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Licensed Unlicensed Requires Authentication Published by De Gruyter February 10, 2011

The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion

  • Yuliya S. Mishura EMAIL logo and Svitlana V. Posashkova

Abstract

We study one-dimensional stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. We prove some properties of the solutions of such equations and of the corresponding Euler scheme. We obtain the convergence rate of the Euler scheme for diffusions with weak singularity at zero.

Received: 2009-06-01
Accepted: 2009-11-02
Published Online: 2011-02-10
Published in Print: 2011-March

© de Gruyter 2011

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