An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
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Publication:4624977
adaptive Euler-Maruyama schemedegenerate diffusiondiscontinuous driftstochastic differential equationsstrong convergence order
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Abstract: We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the discontinuity of the drift coefficient we construct an adaptive step sizing strategy for the explicit Euler-Maruyama scheme. As a result, we obtain a numerical method which has -- up to logarithmic terms -- strong convergence order with respect to the average computational cost. We support our theoretical findings with several numerical examples.
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