The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations

DOI10.1112/S1461157000001388zbMath1223.60051OpenAlexW2030607685MaRDI QIDQ3091946

Andreas Neuenkirch, Peter E. Kloeden

Publication date: 15 September 2011

Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/s1461157000001388

zbMATH Keywords

approximation methodspathwise convergencestochastic delay differential equationsconvergence in \(p\)th mean

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (58)

Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency ⋮ AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation ⋮ On the pathwise approximation of stochastic differential equations ⋮ Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes ⋮ The least squares estimator for an Ornstein-Uhlenbeck process driven by a Hermite process with a periodic mean ⋮ Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean ⋮ Parameter estimation for discretely observed non-ergodic fractional Ornstein-Uhlenbeck processes of the second kind ⋮ Statistical inference for Vasicek-type model driven by self-similar Gaussian processes ⋮ Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise ⋮ Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean ⋮ The exponential integrator scheme for stochastic partial differential equations: Pathwise error bounds ⋮ Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients ⋮ Existence, uniqueness and approximation of solutions to Carathéodory delay differential equations ⋮ Moment estimator for an AR(1) model driven by a long memory Gaussian noise ⋮ Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency ⋮ Multi-step methods for random ODEs driven by Itô diffusions ⋮ Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes ⋮ Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ On the convergence rate of the splitting-up scheme for rough partial differential equations ⋮ Polynomial Propagation of Moments in Stochastic Differential Equations ⋮ The non-linear sewing lemma III: stability and generic properties ⋮ Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model ⋮ Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion ⋮ A perturbation result for semi-linear stochastic differential equations in UMD Banach spaces ⋮ A note on Euler approximations for stochastic differential equations with delay ⋮ Stochastic epidemic metapopulation models on networks: SIS dynamics and control strategies ⋮ Unnamed Item ⋮ A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise ⋮ Convergence of the stochastic Euler scheme for locally Lipschitz coefficients ⋮ ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL ⋮ An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Pathwise space approximations of semi-linear parabolic SPDEs with multiplicative noise ⋮ Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean ⋮ Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay Under Local Lipschitz Condition ⋮ Unnamed Item ⋮ LAN property for stochastic differential equations with additive fractional noise and continuous time observation ⋮ Optimal rates for parameter estimation of stationary Gaussian processes ⋮ Pathwise convergent higher order numerical schemes for random ordinary differential equations ⋮ Spatial Sobolev regularity for stochastic Burgers equations with additive trace class noise ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations ⋮ A random Euler scheme for Carathéodory differential equations ⋮ Analysis and approximation of stochastic nerve axon equations ⋮ Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients ⋮ A randomized and fully discrete Galerkin finite element method for semilinear stochastic evolution equations ⋮ Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Characterization of bistability for stochastic multistep methods ⋮ Berry-Ess\'een bounds for parameter estimation of general Gaussian processes ⋮ Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations ⋮ Pathwise convergence under Knightian uncertainty ⋮ Hurst index estimation in stochastic differential equations driven by fractional Brownian motion ⋮ On parameter estimation of fractional Ornstein-Uhlenbeck process ⋮ Learning stochastic dynamics with statistics-informed neural network

Uses Software

• RODAS

Cites Work

• Unnamed Item
• Unnamed Item
• A note on Euler's approximations
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Adams-type methods for the numerical solution of stochastic ordinary differential equations
• Moderate deviations for diffusions with Brownian potentials
• Asymptotic error for the Milstein scheme for SDEs driven by continuous semimartingales
• Numerical Analysis of Explicit One-Step Methods for Stochastic Delay Differential Equations
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• Numerical Solutions of Stochastic Functional Differential Equations
• Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
• Multistep methods for SDEs and their application to problems with small noise
• Pathwise approximation of random ordinary differential equations

This page was built for publication: The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations