1 research outputs found
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
This paper is concerned with numerical solutions of one-dimensional SDEs with
the drift being a generalised function, in particular belonging to the
Holder-Zygmund space of negative order in the spacial
variable. We design an Euler-Maruyama numerical scheme and prove its
convergence, obtaining an upper bound for the strong convergence rate. We
finally implement the scheme and discuss the results obtained.Comment: 20 pages, 3 figure