A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient

DOI10.1007/S10543-008-0164-1zbMATH Open1136.65008OpenAlexW2061240738MaRDI QIDQ2479587FDOQ2479587

Authors: Nikolaos Halidias, Peter E. Kloeden 

Publication date: 4 April 2008

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-008-0164-1

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zbMATH Keywords

Heaviside functionconvergencestochastic differential equationEuler-Maruyama schemeadditive noisediscontinuous monotone drift coefficient

Mathematics Subject Classification ID

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)

Cites Work

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• On weak uniqueness for some diffusions with discontinuous coefficients
• Existence of strong solutions for Itô's stochastic equations via approximations
• The behavior of solutions of stochastic differential inequalities
• On diffusion approximation with discountinuous coefficients.

Cited In (30)

• 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
• Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• 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 convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
• On the continuous time limit of the ensemble Kalman filter
• Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• 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
• 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

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