Approximating and Simulating Multivalued Stochastic Differential Equations

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

zbMATH Keywords

convergencesimulationnumerical examplesBessel processessingular stochastic differential equationssemi-implicit schemes

Mathematics Subject Classification ID

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 (3)

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

Cites Work

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• Diffusing particles with electrostatic repulsion
• Multivalued stochastic differential equations: Convergence of a numerical scheme
• Projection scheme for stochastic differential equations with convex constraints.
• Approximations for stochastic differential equations with reflecting convex boundaries
• Brownian Motions of Ellipsoids

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