The Euler-Maruyama method for S(F)DEs with Hölder drift and α-stable noise
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Publication:4607788
DOI10.1080/07362994.2017.1371037zbMath1388.60118OpenAlexW2782388370MaRDI QIDQ4607788
Publication date: 14 March 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2017.1371037
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) Rate of convergence, degree of approximation (41A25)
Related Items (6)
New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts ⋮ Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts ⋮ Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications ⋮ On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift ⋮ Distribution-dependent SDEs with Hölder continuous drift and \(\alpha\)-stable noise ⋮ Regularity properties of jump diffusions with irregular coefficients
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- On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
- A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
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