We prove strong convergence of order [Formula: see text] for arbitrarily small [Formula: see text] of the Euler-Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference between the Euler-Maruyama scheme and another numerical method, which is constructed by applying the Euler-Maruyama scheme to a transformation of the SDE we aim to solve.
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| http://dx.doi.org/10.1007/s00211-017-0903-9 | DOI Listing |
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