Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion

DOI10.1007/S11075-020-00990-XzbMATH Open1465.65007OpenAlexW3048067854MaRDI QIDQ2028043FDOQ2028043

Avinash Malik

Publication date: 31 May 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00990-x

zbMATH Keywords

convergence analysisstochastic differential equationsstochastic hybrid systemsEuler-Maruyama schemenumerical integration algorithms

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic systems in control theory (general) (93E03)

Cites Work

• Title not available (Why is that?)
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• Stochastic integral
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• Stochastic hybrid systems: a powerful framework for complex, large scale applications
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• Adaptive time-stepping for the strong numerical solution of stochastic differential equations
• Measurability and safety verification for stochastic hybrid systems
• A compositional modelling and analysis framework for stochastic hybrid systems
• OUP accepted manuscript
• Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
• An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
• A dynamic quantized state system execution framework for hybrid automata

Cited In (1)

• Adaptive step-size selection for state-space probabilistic differential equation solvers

Uses Software

• Simulink
• OpenModelica
• GitHub
• eha

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