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.

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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

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article

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients

Annalena Mickel, Andreas Neuenkirch
1 citations
Journal of Mathematical Analysis and Applications
Stochastic processes and financial applications
0.54
article

On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients

Annalena Mickel, Andreas Neuenkirch
article en
1 citations

Abstract

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.

Journal of Mathematical Analysis and ApplicationsVol. 542(1)
University of Mannheim (DE)
Deutsche Forschungsgemeinschaft
Openalex Percentile: Top 32%
Stochastic processes and financial applications
0.54
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