Numerical approximation of irregular SDEs via Skorokhod embeddings

DOI10.1016/j.jmaa.2016.03.055zbMath1382.60090OpenAlexW2309598323MaRDI QIDQ289527

Stefan Ankirchner, Thomas Kruse, Mikhail A. Urusov

Publication date: 30 May 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.03.055

zbMATH Keywords

stochastic differential equationsirregular diffusion coefficientSkorokhod embedding problemsuperlinearly growing diffusion coefficientweak convergence of processes

Mathematics Subject Classification ID

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)

Related Items (9)

Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ On the convergence order of a binary tree approximation of symmetrized diffusion processes ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ The partially truncated Euler-Maruyama method and its stability and boundedness ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ Approximating exit times of continuous Markov processes ⋮ On Skorokhod embeddings and Poisson equations

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