Numerical approximation of irregular SDEs via Skorokhod embeddings

DOI10.1016/J.JMAA.2016.03.055zbMATH Open1382.60090OpenAlexW2309598323MaRDI QIDQ289527FDOQ289527

Authors: Stefan Ankirchner, Thomas Kruse, Mikhail 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

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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)

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Cited In (11)

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

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