Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient (Q1692306): Difference between revisions

Latest revision as of 01:17, 15 July 2024

scientific article

Language	Label	Description	Also known as
English	Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient	scientific article

Statements

instance of

scholarly article

0 references

title

Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient (English)

0 references

zbMATH Open document ID

1432.65012

0 references

DOI

10.1007/s00211-017-0903-9

0 references

0 references

0 references

Numerische Mathematik

0 references

publication date

26 January 2018

0 references

full work available at URL

https://arxiv.org/abs/1610.07047

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

stochastic differential equations

0 references

discontinuous drift

0 references

degenerate diffusion

0 references

Euler-Maruyama method

0 references

strong convergence rate

0 references

Wikidata QID

Q47555841

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

0 references

Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

0 references

Shorter Notes: Regularity of the Distance Function

0 references

A note on Euler's approximations

0 references

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

0 references

Loss of regularity for Kolmogorov equations

0 references

A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

On stochastic differential equations

0 references

On stochastic differential equations with arbitrary slow convergence rates for strong approximation

0 references

Q4002114

0 references

Higher-order implicit strong numerical schemes for stochastic differential equations

0 references

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

0 references

A numerical method for SDEs with discontinuous drift

0 references

On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion

0 references

The Jordan-Brouwer Separation Theorem for Smooth Hypersurfaces

0 references

Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps

0 references

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

0 references

A note on tamed Euler approximations

0 references

OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION

0 references

Dividend maximization in a hidden Markov switching model

0 references

ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS

0 references

On the Criteria for Existence of a Strong Solution of a Stochastic Equation

0 references

ON STOCHASTIC EQUATIONS WITH DEGENERATE DIFFUSION WITH RESPECT TO SOME OF THE VARIABLES

0 references

On non-polynomial lower error bounds for adaptive strong approximation of SDEs

0 references

A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1692306

@@ Property / cites work @@
+Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
+Normal rank
@@ Property / cites work @@
+Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
+Normal rank
@@ Property / cites work @@
+Shorter Notes: Regularity of the Distance Function
+Normal rank
@@ Property / cites work @@
+A note on Euler's approximations
@@ Property / cites work: A note on Euler's approximations / rank @@
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Loss of regularity for Kolmogorov equations
@@ Property / cites work: Loss of regularity for Kolmogorov equations / rank @@
+Normal rank
@@ Property / cites work @@
+A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+On stochastic differential equations
@@ Property / cites work: On stochastic differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+On stochastic differential equations with arbitrary slow convergence rates for strong approximation
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+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 @@
+A numerical method for SDEs with discontinuous drift
+Normal rank
@@ Property / cites work @@
+On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
+Normal rank
@@ Property / cites work @@
+The Jordan-Brouwer Separation Theorem for Smooth Hypersurfaces
+Normal rank
@@ Property / cites work @@
+Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
+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 @@
+A note on tamed Euler approximations
@@ Property / cites work: A note on tamed Euler approximations / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION
+Normal rank
@@ Property / cites work @@
+Dividend maximization in a hidden Markov switching model
+Normal rank
@@ Property / cites work @@
+ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+On the Criteria for Existence of a Strong Solution of a Stochastic Equation
+Normal rank
@@ Property / cites work @@
+ON STOCHASTIC EQUATIONS WITH DEGENERATE DIFFUSION WITH RESPECT TO SOME OF THE VARIABLES
+Normal rank
@@ Property / cites work @@
+On non-polynomial lower error bounds for adaptive strong approximation of SDEs
+Normal rank
@@ Property / cites work @@
+A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
+Normal rank