An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis
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Publication:4624977
DOI10.1137/18M1170017zbMATH Open1418.60062arXiv1802.04521WikidataQ128388536 ScholiaQ128388536MaRDI QIDQ4624977FDOQ4624977
Authors: A. Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch 
Publication date: 20 February 2019
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1802.04521
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stochastic differential equationsdegenerate diffusiondiscontinuous driftstrong convergence orderadaptive Euler-Maruyama scheme
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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