The Euler Scheme for Stochastic Differential Equations With Discontinuous Drift Coefficient: A Numerical Study of the Convergence Rate

Advances in Difference Equations - Germany
doi 10.1186/s13662-019-2361-4
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

Strong Rate of Convergence for the Euler-Maruyama Approximation of Stochastic Differential Equations With Jumps and Irregular Drift Coefficient

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
2016English

Weak Euler Scheme for Lévy-Driven Stochastic Differential Equations

Theory of Probability and its Applications
UncertaintyStatisticsProbability
2018English

Numerical Study in Stochastic Homogenization for Elliptic Partial Differential Equations: Convergence Rate in the Size of Representative Volume Elements

Numerical Linear Algebra with Applications
Applied MathematicsNumber TheoryAlgebra
2020English

On Stochastic Differential Equations With Locally Unbounded Drift

Czechoslovak Mathematical Journal
Mathematics
2001English

Convergence Rate of Numerical Solutions for Nonlinear Stochastic Pantograph Equations With Markovian Switching and Jumps

Abstract and Applied Analysis
Applied MathematicsAnalysis
2013English

Numerical Solution of Stochastic State-Dependent Delay Differential Equations: Convergence and Stability

Advances in Difference Equations
Applied MathematicsNumber TheoryAnalysisAlgebra
2019English

Pathwise Convergence of a Numerical Method for Stochastic Partial Differential Equations With Correlated Noise and Local Lipschitz Condition

Journal of Computational and Applied Mathematics
Computational MathematicsApplied Mathematics
2017English

Numerical Methods for Simulation of Stochastic Differential Equations

Advances in Difference Equations
Applied MathematicsNumber TheoryAnalysisAlgebra
2018English

Numerical Methods for Stochastic Partial Differential Equations

1999English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy