Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise (Q5093635): Difference between revisions

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scientific article; zbMATH DE number 7565243

Language	Label	Description	Also known as
English	Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise	scientific article; zbMATH DE number 7565243

Statements

instance of

scholarly article

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title

Convergence in Total Variation of the Euler--Maruyama Scheme Applied to Diffusion Processes with Measurable Drift Coefficient and Additive Noise (English)

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SIAM Journal on Numerical Analysis

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publication date

29 July 2022

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full work available at URL

https://arxiv.org/abs/2005.09354

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zbMATH Keywords

diffusion processes

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Euler scheme

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weak error analysis

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nonstandard assumptions

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stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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cites work

Approximation of Markov semigroups in total variation distance

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Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts

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On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift

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On the randomized solution of initial value problems

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

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On the weak approximation of a skew diffusion by an Euler-type scheme

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The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

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A note on Euler's approximations

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Existence of strong solutions for Itô's stochastic equations via approximations

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

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

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The randomized complexity of initial value problems

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A random Euler scheme for Carathéodory differential equations

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Q4002114

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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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Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients

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A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients

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A numerical method for SDEs with discontinuous drift

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A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift

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

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Rate of Convergence of the Euler Approximation for Diffusion Processes

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On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient

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The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

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An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis

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

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OUP accepted manuscript

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Q4727203

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Numerical methods for systems with measurable coefficients

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Error analysis of a randomized numerical method

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The Euler scheme with irregular coefficients

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Identifiers

zbMATH Open document ID

1506.65019

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DOI

10.1137/20M1371774

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5093635

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+Approximation of Markov semigroups in total variation distance
+Normal rank
@@ Property / cites work @@
+Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
+Normal rank
@@ Property / cites work @@
+On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
+Normal rank
@@ Property / cites work @@
+On the randomized solution of initial value problems
+Normal rank
@@ Property / cites work @@
+Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
+Normal rank
@@ Property / cites work @@
+On the weak approximation of a skew diffusion by an Euler-type scheme
+Normal rank
@@ Property / cites work @@
+The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
+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 @@
+Existence of strong solutions for Itô's stochastic equations via approximations
+Normal rank
@@ Property / cites work @@
+A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
+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 @@
+The randomized complexity of initial value problems
+Normal rank
@@ Property / cites work @@
+A random Euler scheme for Carathéodory differential equations
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / 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 @@
+Weak error for the Euler scheme approximation of diffusions with non-smooth coefficients
+Normal rank
@@ Property / cites work @@
+A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
+Normal rank
@@ Property / cites work @@
+A numerical method for SDEs with discontinuous drift
+Normal rank
@@ Property / cites work @@
+A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
+Normal rank
@@ Property / cites work @@
+Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
+Normal rank
@@ Property / cites work @@
+Rate of Convergence of the Euler Approximation for Diffusion Processes
+Normal rank
@@ Property / cites work @@
+On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
+Normal rank
@@ Property / cites work @@
+The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
+Normal rank
@@ Property / cites work @@
+An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
+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 @@
+OUP accepted manuscript
@@ Property / cites work: OUP accepted manuscript / rank @@
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for systems with measurable coefficients
+Normal rank
@@ Property / cites work @@
+Error analysis of a randomized numerical method
@@ Property / cites work: Error analysis of a randomized numerical method / rank @@
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3027557305
@@ Property / OpenAlex ID: W3027557305 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5093635