Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient

DOI10.1016/j.crma.2005.10.025zbMath1082.60514MaRDI QIDQ2583811

Denis Talay, Miguel Martinez

Publication date: 18 January 2006

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2005.10.025

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

Related Items

Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics, A Donsker theorem to simulate one-dimensional processes with measurable coefficients, Simulating diffusions with piecewise constant coefficients using a kinetic approximation, Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient

Cites Work

• Dirichlet forms and symmetric Markov processes
• The Euler scheme with irregular coefficients
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item