Leobacher, Gunther, Szölgyenyi, Michaela. 2018. Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numerische Mathematik 138 (1), 219-239.
BibTeX
Abstract
We prove strong convergence of order 1/4−ϵ for arbitrarily small ϵ>0 of the Euler–Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference between the Euler–Maruyama scheme and another numerical method, which is constructed by applying the Euler–Maruyama scheme to a transformation of the SDE we aim to solve.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Numerische Mathematik |
Citation Index | SCI |
WU-Journal-Rating new | FIN-A |
Language | English |
Title | Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient |
Volume | 138 |
Number | 1 |
Year | 2018 |
Page from | 219 |
Page to | 239 |
Reviewed? | Y |
URL | https://link.springer.com/epdf/10.1007/s00211-017-0903-9?author_access_token=uh0dTnp40aqPb9xzPtinc_e4RwlQNchNByi7wbcMAY4frjuPimBzq6dPsNN9-5Fs7u7zrsS64zJlaXp8SofJbZGK2RAu9uAoTEYrvmsnxQa7AY-uXYnxVq6oiW6ZfuzfPipLgsKO8nGjdB_O4iQ6HA%3D%3D |
DOI | http://dx.doi.org/10.1007/s00211-017-0903-9 |
Associations
- People
- Szölgyenyi, Michaela (Former researcher)
- External
- Leobacher, Gunther (Johannes Kepler University Linz, Austria)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1114 Numerical mathematics (Details)
- 1117 Actuarial mathematics (Details)
- 1118 Probability theory (Details)
- 1137 Financial mathematics (Details)