29 research outputs found
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
We prove strong convergence of order for arbitrarily small
of the Euler-Maruyama method for multidimensional stochastic
differential equations (SDEs) with discontinuous drift and degenerate diffusion
coefficient. The proof is based on estimating the difference between the
Euler-Maruyama scheme and another numerical method, which is constructed by
applying the Euler-Maruyama scheme to a transformation of the SDE we aim to
solve