A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
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Heaviside functionconvergencestochastic differential equationEuler-Maruyama schemeadditive noisediscontinuous monotone drift coefficient
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
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- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
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- 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
- 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
(30)- Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
- Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise
- 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
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients
- A numerical method for SDEs with discontinuous drift
- Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations
- Strong convergence of the Euler-Maruyama approximation for SDEs with unbounded drift
- An existence theorem for stochastic functional differential equations with delays under weak assumptions
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- Weak convergence of Euler scheme for SDEs with low regular drift
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- A comparison theorem for stochastic equations in infinite dimensions and applications
- Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
- On the continuous time limit of the ensemble Kalman filter
- On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications
- Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- 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
- An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
- A numerical scheme for stochastic differential equations with distributional drift
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