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A note on the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift (2206.12830v1)

Published 26 Jun 2022 in math.PR

Abstract: We consider SDEs with bounded and $\alpha$-H\"older continuous drift, with $\alpha \in (0,1)$, driven by multiplicative noise. We show that under sufficient conditions on the diffusion matrix, which guarantee the existence of a unique strong solution, the weak rate of convergence for the Euler-Maruyama scheme is almost $(1+\alpha)/2$. The present paper forms part of the author's master's thesis.

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