Properties of the EMCEL scheme for approximating irregular diffusions

DOI10.1016/J.JMAA.2021.125931MaRDI QIDQ2069772zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr, Mikhail Urusov

Publication date 21 January 2022

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.10316

zbMATH Keywords

Markov chain approximationnumerical schemeone-dimensional Markov processspeed measuresticky point

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Numerical analysis or methods applied to Markov chains (65C40)

Abstract: We prove several properties of the EMCEL scheme, which is capable of approximating one-dimensional continuous strong Markov processes in distribution on the path space (the scheme is briefly recalled). Special cases include irregular stochastic differential equations and processes with sticky features. In particular, we highlight differences from the Euler scheme in the case of stochastic differential equations and discuss a certain "stabilizing" behavior of the EMCEL scheme like "smoothing and tempered growth behavior".

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Cited in

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