On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient

Abstract : In this paper, weak approximations of multi-dimensional stochastic differential equations with discontinuous drift coefficients are considered. Here as the approximated process, the Euler-Maruyama approximation of SDEs with approximated drift coefficients is used, and we provide a rate of weak convergence of them. Finally we present a rate of weak convergence of the Euler-Maruyama approximation of the original SDEs with constant diffusion coefficients.
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Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda. On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient. Chiaki Hara. Mathematical Economics, Oct 2011, Kyoto, Japan. 1788, pp.94-106, 2012. 〈hal-00670123〉

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