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- Euler-Maruyama approximation for SDEs with irregular coefficients
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- Home
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Student life & resources
Postgraduate research
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- Michael Tallis PhD Research Travel Award
- Information about research theses
- Past research students
- Resources
- Entry requirements
- PhD projects
- Obtaining funding
- Application & fee information
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- Help for postgraduate students
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- Consultation
- Statistics Consultation Service
- Academic advice
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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.
Speaker
Dai Taguchi
Research Area
Statistics Seminar
Affiliation
Ritsumeikan University
Date
Fri, 05/08/2016 - 4:00pm
Venue
RC M032, The Red Centre, UNSW