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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2008

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

Résumé

We consider one-dimensional stochastic differential equations in the particular case of diffusion coefficient functions of the form |x|^a, a in [1/2,1). In that case, we study the rate of convergence of a symmetrized version of the Euler scheme. This symmetrized version is easy to simulate on a computer. We prove its strong convergence and obtain the same rate of convergence as when the coefficients are Lipschitz.
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Dates et versions

inria-00000176 , version 1 (22-07-2005)
inria-00000176 , version 2 (10-01-2006)

Identifiants

  • HAL Id : inria-00000176 , version 2

Citer

Abdel Berkaoui, Mireille Bossy, Awa Diop. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence. ESAIM: Probability and Statistics, 2008, 12, pp.15. ⟨inria-00000176v2⟩
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