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

Revision as of 02:20, 29 July 2024

scientific article

Language	Label	Description	Also known as
English	The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

0 references

0 references

0 references

Advances in Difference Equations

0 references

publication date

25 May 2022

0 references

full work available at URL

https://arxiv.org/abs/1705.04562

0 references

zbMATH Keywords

discontinuous drift

0 references

numerical schemes

0 references

convergence rates

0 references

experimental study

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

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

0 references

Controlled diffusion models for optimal dividend pay-out

0 references

On stochastic bang bang control

0 references

Atlas models of equity markets

0 references

Numerical methods for simulation of stochastic differential equations

0 references

Q4531968

0 references

A second-order stock market model

0 references

Q5653395

0 references

Weak approximation of killed diffusion using Euler schemes.

0 references

A note on Euler's approximations

0 references

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

0 references

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

0 references

Hybrid Atlas models

0 references

Stochastic Portfolio Theory: an Overview

0 references

Q4002114

0 references

On Strong Solutions of Stochastic Itô-Volterra Equations

0 references

Q3010640

0 references

Q2703816

0 references

A numerical method for SDEs with discontinuous drift

0 references

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

0 references

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

0 references

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

0 references

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

0 references

Markov chains and stochastic stability

0 references

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

0 references

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

0 references

First order strong approximations of scalar SDEs defined in a domain

0 references

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

0 references

OUP accepted manuscript

0 references

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

0 references

Exponential convergence of Langevin distributions and their discrete approximations

0 references

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

0 references

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

0 references

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

0 references

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

0 references

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

0 references

Identifiers

zbMATH Open document ID

1487.65009

0 references

DOI

10.1186/s13662-019-2361-4

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

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