Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

DOI10.1016/S0304-4149(98)00020-9zbMath0934.60052OpenAlexW2029968770MaRDI QIDQ1805773

Yanyan Li

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00020-9

zbMATH Keywords

good integratorsnumerical solutions to stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (19)

The Euler scheme with irregular coefficients ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process ⋮ Edgeworth expansion for Euler approximation of continuous diffusion processes ⋮ Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients ⋮ Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk ⋮ Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift ⋮ Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Option Pricing with Threshold Diffusion Processes ⋮ The local linearization scheme for nonlinear diffusion models with discontinuous coefficients ⋮ A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift ⋮ Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients ⋮ The asymptotic error of chaos expansion approximations for stochastic differential equations ⋮ Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process ⋮ Stability Problem for One-Dimensional Stochastic Differential Equations with Discontinuous Drift

Cites Work

• On the existence of solutions of stochastic differential equations
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On continuous-time threshold ARMA processes
• Uniqueness for diffusions with piecewise constant coefficients
• On the Existence and Application of Continuous-Time Threshold Autoregressions of Order Two
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Continuous-time threshold AR(1) processes
• ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES
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