Approximation for non-smooth functionals of stochastic differential equations with irregular drift

DOI10.1016/j.jmaa.2017.08.006zbMath1378.60086arXiv1505.03600OpenAlexW2963114861MaRDI QIDQ2405375

Dai Taguchi, Hoang-Long Ngo

Publication date: 25 September 2017

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

Full work available at URL: https://arxiv.org/abs/1505.03600

zbMATH Keywords

Monte Carlo methodweak approximationEuler-Maruyama approximationreflected stochastic differential equationirregular drift

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Weak convergence of Euler scheme for SDEs with low regular drift, Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations, Probability density function of SDEs with unbounded and path-dependent drift coefficient, Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients

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