## Brazilian Journal of Probability and Statistics

- Braz. J. Probab. Stat.
- Volume 31, Number 1 (2017), 24-40.

### Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient

Hoang-Long Ngo and Duc-Trong Luong

#### Abstract

We study the strong rate of convergence of the tamed Euler–Maruyama approximation for one-dimensional stochastic differential equations with superlinearly growing drift and Hölder continuous diffusion coefficients.

#### Article information

**Source**

Braz. J. Probab. Stat., Volume 31, Number 1 (2017), 24-40.

**Dates**

Received: January 2015

Accepted: September 2015

First available in Project Euclid: 25 January 2017

**Permanent link to this document**

https://projecteuclid.org/euclid.bjps/1485334823

**Digital Object Identifier**

doi:10.1214/15-BJPS301

**Mathematical Reviews number (MathSciNet)**

MR3601659

**Zentralblatt MATH identifier**

1380.60062

**Keywords**

Stochastic differential equation irregular coefficients Euler–Maruyama approximation Hölder continuous diffusion strong approximation superlinearly growing drift

#### Citation

Ngo, Hoang-Long; Luong, Duc-Trong. Strong rate of tamed Euler–Maruyama approximation for stochastic differential equations with Hölder continuous diffusion coefficient. Braz. J. Probab. Stat. 31 (2017), no. 1, 24--40. doi:10.1214/15-BJPS301. https://projecteuclid.org/euclid.bjps/1485334823