On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
We study the Euler scheme for scalar non-autonomous stochastic differential equations, whose diffusion coefficient is not globally Lipschitz but a fractional power of a globally Lipschitz function. We analyse the strong error and establish a criterion, which relates the convergence order of the Euler scheme to an inverse moment condition for the diffusion coefficient. Our result in particular applies to Cox-Ingersoll-Ross-, Chan-Karolyi-Longstaff-Sanders- or Wright-Fisher-type stochastic differential equations and thus provides a unifying framework.
Authors
- Annalena Mickel
- Andreas Neuenkirch (ORCID: https://orcid.org/0000-0002-0419-1225)
Institutions
- University of Mannheim (DE)
Publication Details
- Journal
- Journal of Mathematical Analysis and Applications
- Published
- 2024-08-26
- DOI
- https://doi.org/10.1016/j.jmaa.2024.128788
- Citations
- 1
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.54
Funders
- Deutsche Forschungsgemeinschaft