Dai Taguchi
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
Research Area
Affiliation
Ritsumeikan University
Date
Fri, 05/08/2016 - 4:00pm
Venue
RC M032, The Red Centre, UNSW