Liqing Yan
Abstract
Weak convergence of the Euler scheme for stochastic differential equations is established when coefficients are discontinuous on a set of Lebesgue measure zero. The rate of convergence is also given when coefficients are Hölder continuous.
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Weak convergence of the Euler scheme for stochastic differential equations is established when coefficients are discontinuous on a set of Lebesgue measure zero. The rate of convergence is also given when coefficients are Hölder continuous.
Key concepts: Convergence (economics), Applied mathematics, Euler's formula, Stochastic differential equation, Mathematics, Euler method, Backward Euler method, Euler equations