On Exact Convergence Rate of Strong Numerical Schemes for Stochastic Differential Equations
نویسندگان
چکیده
We propose a simple and intuitive method to derive the exact convergence rate of global L2-norm error for strong numerical approximation of stochastic differential equations the result of which has been reported by Hofmann and Müller-Gronbach (2004). We conclude that any strong numerical scheme of order γ > 1/2 has the same optimal convergence rate for this error. The method clearly reveals the structure of global L2-norm error and is similarly applicable for evaluating the convergence rate of global uniform approximations.
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