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

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

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scholarly article

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title

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

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Numerische Mathematik

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publication date

26 January 2018

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full work available at URL

https://arxiv.org/abs/1610.07047

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zbMATH Keywords

stochastic differential equations

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discontinuous drift

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degenerate diffusion

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Euler-Maruyama method

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strong convergence rate

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MaRDI profile type

MaRDI publication profile

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cites work

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

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

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Shorter Notes: Regularity of the Distance Function

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A note on Euler's approximations

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

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Loss of regularity for Kolmogorov equations

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

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On stochastic differential equations

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

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Q4002114

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Higher-order implicit strong numerical schemes for stochastic differential equations

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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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A numerical method for SDEs with discontinuous drift

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

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The Jordan-Brouwer Separation Theorem for Smooth Hypersurfaces

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

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

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A note on tamed Euler approximations

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

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Dividend maximization in a hidden Markov switching model

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

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

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

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

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

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Identifiers

zbMATH Open document ID

1432.65012

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DOI

10.1007/s00211-017-0903-9

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Mathematics Subject Classification ID

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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