Approximating and Simulating Multivalued Stochastic Differential Equations
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Publication:4652911
DOI10.1515/156939604777303244zbMath1066.65015OpenAlexW1998371609MaRDI QIDQ4652911
Thi Thao Nguyen, Dominique Lépingle
Publication date: 28 February 2005
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/156939604777303244
convergencesimulationnumerical examplesBessel processessingular stochastic differential equationssemi-implicit schemes
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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Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations, Strong convergence rate for multivalued stochastic differential equations via stochastic theta method, Stochastic Theta Method for a Reflected Stochastic Differential Equation
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