A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
From MaRDI portal
Publication:2479587
additive noiseconvergencediscontinuous monotone drift coefficientEuler-Maruyama schemeHeaviside functionstochastic differential equation
Ordinary differential equations and systems with randomness (34F05) 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)
Recommendations
- On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
- A numerical method for SDEs with discontinuous drift
- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
Cites work
- A note on Euler's approximations
- A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient
- Existence of strong solutions for Itô's stochastic equations via approximations
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Monotone random systems theory and applications
- On diffusion approximation with discountinuous coefficients.
- On weak uniqueness for some diffusions with discontinuous coefficients
- Probability essentials.
- The behavior of solutions of stochastic differential inequalities
Cited in
(33)- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- A numerical scheme for stochastic differential equations with distributional drift
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- Weak convergence of Euler scheme for SDEs with low regular drift
- 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
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
- Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
- Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- A numerical method for SDEs with discontinuous drift
- Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients
- A comparison theorem for stochastic equations in infinite dimensions and applications
- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
- Convergence rate of the EM algorithm for SDEs with low regular drifts
- Convergence in total variation of the Euler-Maruyama scheme applied to diffusion processes with measurable drift coefficient and additive noise
- On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
- On the continuous time limit of the ensemble Kalman filter
- Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift
- Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications
- Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
- Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
- Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
- Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
- On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
- On well-posedness and Euler scheme for regime-switching stochastic differential equations with discontinuous drift coefficient
- Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
- The local coupling of noise technique and its application to lower error bounds for strong approximation of SDEs with irregular coefficients
- An existence theorem for stochastic functional differential equations with delays under weak assumptions
This page was built for publication: A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2479587)
