In this talk, we are concerned with convergence rate of Euler-Maruyama scheme for stochastic differential equations with rough coefficients. The key contributions lie in (i), by means of regularity of non-degenerate Kolmogrov equation, we investigate convergence rate of Euler-Maruyama scheme for a class of stochastic differential equations, which allow the drifts to be Dini-continuous and unbounded; (ii) by the aid of regularization properties of degenerate Kolmogrov equation, we discuss convergence rate of Euler-Maruyama scheme for a range of degenerate stochastic differential equations, where the drift is locally H ̈older-Dini continuous of order 2/3 with respect to the first component, and is merely Dini-continuous concerning the second component.
© 2015 All Rights Reserved. 粤ICP备14051456号
地址：广东省深圳市南山区学苑大道1088号 电话：+86-755-8801 0000 邮编：518055