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Tokyo Probability Seminar
Seminar information archive ～09/16｜Next seminar｜Future seminars 09/17～
| Date, time & place | Monday 16:00 - 17:30 126Room #126 (Graduate School of Math. Sci. Bldg.) |
|---|---|
| Organizer(s) | Makiko Sasada, Shuta Nakajima (Keio Univ.), Masato Hoshino (Science Tokyo), Masahisa Ebina (Science Tokyo) |
2026/10/05
16:50-18:20 Room #122 (Graduate School of Math. Sci. Bldg.)
The classroom is 122. No Tea Time today.
Dai Taguchi (Kansai University)
Euler–Maruyama scheme with unbounded Hölder drift
The classroom is 122. No Tea Time today.
Dai Taguchi (Kansai University)
Euler–Maruyama scheme with unbounded Hölder drift
[ Abstract ]
In this talk, we establish the strong rate of convergence of the Euler--Maruyama scheme for multidimensional stochastic differential equations with unbounded, uniformly locally Hölder continuous drift and multiplicative noise. Our approach relies on the Itô--Tanaka trick (Zvonkin-type transformation) adapted to unbounded drift. Furthermore, in order to apply the stochastic sewing lemma, we employ heat kernel estimates for the transition density of the Euler--Maruyama scheme. This talk is based on joint work with Tsukasa Moritoki (Okayama university).
In this talk, we establish the strong rate of convergence of the Euler--Maruyama scheme for multidimensional stochastic differential equations with unbounded, uniformly locally Hölder continuous drift and multiplicative noise. Our approach relies on the Itô--Tanaka trick (Zvonkin-type transformation) adapted to unbounded drift. Furthermore, in order to apply the stochastic sewing lemma, we employ heat kernel estimates for the transition density of the Euler--Maruyama scheme. This talk is based on joint work with Tsukasa Moritoki (Okayama university).
