The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate (Q2141948): Difference between revisions

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

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scholarly article

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title

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

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Advances in Difference Equations

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publication date

25 May 2022

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full work available at URL

https://arxiv.org/abs/1705.04562

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zbMATH Keywords

discontinuous drift

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numerical schemes

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convergence rates

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experimental study

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MaRDI profile type

MaRDI publication profile

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cites work

Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

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Controlled diffusion models for optimal dividend pay-out

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On stochastic bang bang control

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Atlas models of equity markets

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Numerical methods for simulation of stochastic differential equations

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Q4531968

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A second-order stock market model

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Q5653395

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Weak approximation of killed diffusion using Euler schemes.

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A note on Euler's approximations

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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 and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Hybrid Atlas models

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Stochastic Portfolio Theory: an Overview

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Q4002114

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On Strong Solutions of Stochastic Itô-Volterra Equations

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Q3010640

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Q2703816

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

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Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.

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Markov chains and stochastic stability

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

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

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First order strong approximations of scalar SDEs defined in a domain

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

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Exponential convergence of Langevin distributions and their discrete approximations

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

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Optimal stochastic control, stochastic target problems, and backward SDE.

0 references

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

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A Large-Deviation-Based Splitting Estimation of Power Flow Reliability

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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

1487.65009

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DOI

10.1186/s13662-019-2361-4

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2141948

@@ Property / cites work @@
+Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
+Normal rank
@@ Property / cites work @@
+Controlled diffusion models for optimal dividend pay-out
+Normal rank
@@ Property / cites work @@
+On stochastic bang bang control
@@ Property / cites work: On stochastic bang bang control / rank @@
+Normal rank
@@ Property / cites work @@
+Atlas models of equity markets
@@ Property / cites work: Atlas models of equity markets / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for simulation of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4531968
@@ Property / cites work: Q4531968 / rank @@
+Normal rank
@@ Property / cites work @@
+A second-order stock market model
@@ Property / cites work: A second-order stock market model / rank @@
+Normal rank
@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak approximation of killed diffusion using Euler schemes.
+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 the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Hybrid Atlas models
@@ Property / cites work: Hybrid Atlas models / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Portfolio Theory: an Overview
@@ Property / cites work: Stochastic Portfolio Theory: an Overview / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+On Strong Solutions of Stochastic Itô-Volterra Equations
+Normal rank
@@ Property / cites work @@
+Q3010640
@@ Property / cites work: Q3010640 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2703816
@@ Property / cites work: Q2703816 / rank @@
+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 @@
+On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion
+Normal rank
@@ Property / cites work @@
+Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
+Normal rank
@@ Property / cites work @@
+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
+Normal rank
@@ Property / cites work @@
+On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
+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 @@
+First order strong approximations of scalar SDEs defined in a domain
+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 @@
+Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
+Normal rank
@@ Property / cites work @@
+Exponential convergence of Langevin distributions and their discrete approximations
+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 @@
+Optimal stochastic control, stochastic target problems, and backward SDE.
+Normal rank
@@ Property / cites work @@
+ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+A Large-Deviation-Based Splitting Estimation of Power Flow Reliability
+Normal rank
@@ Property / cites work @@
+A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
+Normal rank
@@ Property / Wikidata QID @@
+Q127104307
@@ Property / Wikidata QID: Q127104307 / rank @@
+Normal rank