Difference methods for stochastic differential equations with discontinuous coefficients

DOI10.1080/17442508408833318MaRDI QIDQ3330242zbMATH OpenOpenAlexFDO

Authors Rainer Janßen

Publication date 1984

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508408833318

zbMATH Keywords

convergence of distributionsEuler method

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• On Benes' bang-bang control problem
• The Optimal Control of a Stochastic System

Cited in

(11)

• A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems
• A note on Euler's approximations
• The Euler scheme with irregular coefficients
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
• Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
• Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients
• Difference Methods for Stochastic Partial Differential Equations
• Euler scheme for solutions of a countable system of stochastic differential equations
• Discretization of the Wiener-process in difference-methods for stochastic differential equations
• On weak approximations of \((a, b)\)-invariant diffusions

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