An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
From MaRDI portal
Publication:2134420
DOI10.1016/j.jmaa.2022.126180zbMath1492.65029arXiv2102.13155OpenAlexW3134989401MaRDI QIDQ2134420
Publication date: 3 May 2022
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.13155
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)
Related Items
Optimal Rate of Convergence for Approximations of SPDEs with Nonregular Drift ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient ⋮ Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Hölder continuous diffusion ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time
Cites Work
- Unnamed Item
- A numerical method for SDEs with discontinuous drift
- A second-order stock market model
- Hybrid Atlas models
- Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
- On stochastic bang bang control
- A note on Euler's approximations
- Controlled diffusion models for optimal dividend pay-out
- A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
- A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- Optimal strong approximation of the one-dimensional squared Bessel process
- Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
- The Euler scheme with irregular coefficients
- The optimal uniform approximation of systems of stochastic differential equations
- Existence of strong solutions for Itô's stochastic equations via approximations
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
- On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- A mean-field model with discontinuous coefficients for neurons with spatial interaction
- A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION
- Adaptive Multilevel Monte Carlo Simulation
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
- An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
- OUP accepted manuscript
- A strong order 3/4 method for SDEs with discontinuous drift coefficient
- The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
- An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
- Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
