Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process (Q350292): Difference between revisions

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English	Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process	scientific article

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instance of

scholarly article

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title

Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process (English)

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Monte Carlo Methods and Applications

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publication date

7 December 2016

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zbMATH Keywords

Euler-Maruyama approximation

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strong convergence

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stochastic differential equation

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local time

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bounded variation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1515/mcma-2016-0115

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cites work

On irregular functionals of SDEs and the Euler scheme

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The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

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Skew brownian motion and a one dimensional stochastic differential equation

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Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients

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Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

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One-dimensional stochastic differential equations with generalized and singular drift

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On the time inhomogeneous skew Brownian motion

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Estimation of densities and applications

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Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

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Q3706262

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On the existence of a time inhomogeneous skew Brownian motion and some related laws

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Q5520962

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A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients

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On skew Brownian motion

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Q4486430

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Q4004325

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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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Q3042112

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Q3344924

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On the constructions of the skew Brownian motion

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Q5492412

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Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients

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“Skew-Brownian Motion” and Derived Processes

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On countably skewed Brownian motion with accumulation point

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Q4001276

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Q3906200

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On the uniqueness of solutions of stochastic differential equations

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The Euler scheme with irregular coefficients

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Identifiers

zbMATH Open document ID

1351.60087

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DOI

10.1515/mcma-2016-0115

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:350292

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+Euler-Maruyama approximation
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@@ Property / zbMATH Keywords @@
+strong convergence
@@ Property / zbMATH Keywords: strong convergence / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic differential equation
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+Normal rank
@@ Property / zbMATH Keywords @@
+local time
@@ Property / zbMATH Keywords: local time / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bounded variation
@@ Property / zbMATH Keywords: bounded variation / rank @@
+Normal rank
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+MaRDI publication profile
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+https://doi.org/10.1515/mcma-2016-0115
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+W2544379658
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+Normal rank
@@ Property / cites work @@
+On irregular functionals of SDEs and the Euler scheme
+Normal rank
@@ Property / cites work @@
+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
+Normal rank
@@ Property / cites work @@
+Skew brownian motion and a one dimensional stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Euler scheme for solutions of stochastic differential equations with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
+Normal rank
@@ Property / cites work @@
+One-dimensional stochastic differential equations with generalized and singular drift
+Normal rank
@@ Property / cites work @@
+On the time inhomogeneous skew Brownian motion
@@ Property / cites work: On the time inhomogeneous skew Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of densities and applications
@@ Property / cites work: Estimation of densities and applications / rank @@
+Normal rank
@@ Property / cites work @@
+Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
+Normal rank
@@ Property / cites work @@
+Q3706262
@@ Property / cites work: Q3706262 / rank @@
+Normal rank
@@ Property / cites work @@
+On the existence of a time inhomogeneous skew Brownian motion and some related laws
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+On skew Brownian motion
@@ Property / cites work: On skew Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4486430
@@ Property / cites work: Q4486430 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
+Normal rank
@@ Property / cites work @@
+Q3042112
@@ Property / cites work: Q3042112 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3344924
@@ Property / cites work: Q3344924 / rank @@
+Normal rank
@@ Property / cites work @@
+On the constructions of the skew Brownian motion
@@ Property / cites work: On the constructions of the skew Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q5492412
@@ Property / cites work: Q5492412 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
+Normal rank
@@ Property / cites work @@
+“Skew-Brownian Motion” and Derived Processes
@@ Property / cites work: “Skew-Brownian Motion” and Derived Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On countably skewed Brownian motion with accumulation point
+Normal rank
@@ Property / cites work @@
+Q4001276
@@ Property / cites work: Q4001276 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3906200
@@ Property / cites work: Q3906200 / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:350292