Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
We consider one-dimensional stochastic differential equations in the particular case of diffusion coefficient functions of the form |x|α, α ∈ [1/2,1). In that case, we study the rate of convergence of a symmetrized version of the Euler scheme. This symmetrized version is easy to simulate on a computer. We prove …