Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process

DOI10.1515/MCMA-2020-2057zbMATH Open1434.60169OpenAlexW3006260495MaRDI QIDQ1985372FDOQ1985372

Kamal Hiderah

Publication date: 7 April 2020

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2020-2057

zbMATH Keywords

stochastic differential equationsstrong convergencemaximum processEuler-Maruyama approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Local time and additive functionals (60J55) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• The Euler scheme with irregular coefficients
• Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion
• Perturbed Brownian motions
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• On irregular functionals of SDEs and the Euler scheme
• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
• Some calculations for doubly perturbed Brownian motion
• Upper and lower limits of doubly perturbed Brownian motion
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

Cited In (1)

• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS

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