Multivalued stochastic differential equations: Convergence of a numerical scheme

MaRDI QIDQ1410233zbMATH OpenFDO

Authors Frédéric Bernardin

Publication date 14 October 2003

Published in Set-Valued Analysis (Search for Journal in Brave)

zbMATH Keywords

numerical experimentsmaximal monotone operatorsstochastic differential equationsnumerical schemeSkorokhod problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cited in

(17)

• Strong convergence rate for multivalued stochastic differential equations via stochastic theta method
• Study of a rheological model with a friction term and a cubic term: deterministic and stochastic cases
• A stochastic differential equation from friction mechanics
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• A Piecewise Deterministic Markov Process Approach Modeling a Dry Friction Problem with Noise
• Approximating and Simulating Multivalued Stochastic Differential Equations
• Penalization schemes for multi-valued stochastic differential equations
• Stochastic dynamics of fluid-structure interaction in turbulent thermal convection
• Differentiation of sets in measure
• Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
• Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme
• Large deviations for invariant measures of multivalued stochastic differential equations
• Construction of positivity preserving numerical schemes for some multidimensional stochastic differential equations
• Ensemble approximations for constrained dynamical systems using Liouville equation
• The value of the stochastic solution in multistage problems
• Fold-up derivatives of set-valued functions and the change-set problem: a survey
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation

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