Strong convergence of the tamed Euler scheme for scalar SDEs with superlinearly growing and discontinuous drift coefficient
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In this paper, we consider scalar stochastic differential equations (SDEs) with a superlinearly growing and piecewise continuous drift coefficient. Existence and uniqueness of strong solutions of such SDEs are obtained. Furthermore, the classical L_p-error rate 1/2 for all p∈ [1, +∞) is recovered for the tamed Euler scheme. A numerical example is provided to support our conclusion.
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