Convergence of the Euler scheme for stochastic differential equations with irregular coefficients
Abstract
Weak convergence of the Euler scheme for stochastic differential equations is established when coefficients are discontinuous on a set of Lebesgue measure zero. The rate of convergence is also given when coefficients are Hölder continuous.
Degree
Ph.D.
Advisors
Protter, Purdue University.
Subject Area
Statistics|Mathematics
Off-Campus Purdue Users:
To access this dissertation, please log in to our
proxy server.