OUP accepted manuscript

Abstract

We study the strong rates of the Euler-Maruyama approximation for one dimensional stochastic differential equations whose drift coefficient may be neither continuous nor one-sided Lipschitz and diffusion coefficient is Holder continuous. Especially, we show that the strong rate of the Euler-Maruyama approximation is 1/2 for a large class of equations whose drift is not continuous. We also provide the strong rate for equations whose drift is Holder continuous and diffusion is nonconstant