Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

DOI10.1016/j.spl.2017.01.027zbMath1386.60242arXiv1604.01174OpenAlexW2964117383MaRDI QIDQ2407763

Hoang-Long Ngo, Dai Taguchi

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01174

zbMATH Keywords

stochastic differential equationdiscontinuous coefficientsEuler-Maruyama approximationstrong rate of convergence

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Rate of convergence, degree of approximation (41A25)

Related Items

An adaptive strong order 1 method for SDEs with discontinuous drift coefficient, The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate, On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient, Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise, Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error, Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient, On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift, Wasserstein convergence rates for random bit approximations of continuous Markov processes, A solution method for heterogeneity involving present bias, An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis, Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients, Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift, On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients, Time-consistent portfolio optimization, An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions, Properties of the EMCEL scheme for approximating irregular diffusions, Convergence rate of Euler scheme for time-inhomogeneous SDEs involving the local time of the unknown process, Symmetrization associated with hyperbolic reflection principle, On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time, Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Numerical approximation of irregular SDEs via Skorokhod embeddings
• On stochastic differential equations with arbitrary slow convergence rates for strong approximation
• One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• On some non asymptotic bounds for the Euler scheme
• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• A note on Euler's approximations
• Singular stochastic differential equations.
• Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
• The Euler scheme with irregular coefficients
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• Loss of regularity for Kolmogorov equations
• Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
• A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
• On the uniqueness of solutions of stochastic differential equations
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• On a symmetrization of diffusion processes