A strong order 1/2 method for multidimensional SDEs with discontinuous drift

DOI10.1214/16-AAP1262zbMATH Open1373.60102arXiv1512.02807MaRDI QIDQ1676445FDOQ1676445

Authors: Gunther Leobacher, Michaela Szölgyenyi 

Publication date: 7 November 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: In this paper we consider multidimensional stochastic differential equations (SDEs) with discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence and uniqueness result for this class of SDEs and we present a numerical method that converges with strong order 1/2. Our result is the first one that shows strong convergence for such a general class of SDEs. The proof is based on a transformation technique that removes the discontinuity from the drift such that the coefficients of the transformed SDE are Lipschitz continuous. Thus the Euler-Maruyama method can be applied to this transformed SDE. The approximation can be transformed back, giving an approximation to the solution of the original SDE. As an illustration, we apply our result to an SDE the drift of which has a discontinuity along the unit circle.

Full work available at URL: https://arxiv.org/abs/1512.02807

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zbMATH Keywords

stochastic differential equationsdegenerate diffusiondiscontinuous driftexistence and uniqueness of solutionsstrong convergence ratenumerical methods for stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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