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ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS
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 Title & Authors
ON EXACT CONVERGENCE RATE OF STRONG NUMERICAL SCHEMES FOR STOCHASTIC DIFFERENTIAL EQUATIONS
Nam, Dou-Gu;
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 Abstract
We propose a simple and intuitive method to derive the exact convergence rate of global error for strong numerical approximation of stochastic differential equations the result of which has been reported by Hofmann and . We conclude that any strong numerical scheme of order ${\gamma}\;>\;1/2$ has the same optimal convergence rate for this error. The method clearly reveals the structure of global error and is similarly applicable for evaluating the convergence rate of global uniform approximations.
 Keywords
strong approximation of SDE;global -norm error;
 Language
English
 Cited by
 References
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