A new discretization scheme for one dimensional stochastic differential equations using time change method

DOI10.1214/21-ECP420zbMath1493.60109arXiv2006.02626OpenAlexW3198383358WikidataQ115240782 ScholiaQ115240782MaRDI QIDQ2064838

Masaaki Fukasawa, Mitsumasa Ikeda

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.02626

zbMATH Keywords

stochastic differential equationsnumerical analysis

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
• A one-dimensional diffusion process in a Wiener medium
• Comments on the life and mathematical legacy of Wolfgang Doeblin
• Stochastic differential equation for Brox diffusion
• Multilevel Monte Carlo Path Simulation
• One Dimensional Stochastic Differential Equations with No Strong Solution

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