Dareiotis, K, Gerencsér, M and Lê, K (2023) Quantifying a convergence theorem of Gyöngy and Krylov. Annals of Applied Probability, 33 (3). pp. 2291-2323. ISSN 1050-5164
Abstract
We derive sharp strong convergence rates for the Euler–Maruyama scheme approximating multidimensional SDEs with multiplicative noise without imposing any regularity condition on the drift coefficient. In case the noise is additive, we show that Sobolev regularity can be leveraged to obtain improved rate: drifts with regularity of order α∈(0,1) lead to rate (1+α)/2.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © Institute of Mathematical Statistics, 2023. Reproduced in accordance with the publisher's self-archiving policy. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 13 Dec 2022 12:37 |
Last Modified: | 10 Jul 2023 16:06 |
Status: | Published |
Publisher: | Institute of Mathematical Statistics |
Identification Number: | 10.1214/22-AAP1867 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:193876 |