[PDF] Top 20 The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
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The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
... on numerical approximations of SDEs in the presence of a piece- wise constant drift and a constant diffusion ...the Euler scheme, by analyzing the numerical convergence rates ... See full document
21
Numerical solution of stochastic state dependent delay differential equations: convergence and stability
... few numerical schemes for SDDEs which contain the third type of lag function have been pro- posed, see, ...for stochastic volatility involving state-dependent delayed response and applied the ... See full document
34
Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... θ-EM scheme, which is known as the BEM when θ = 1, to approximate the solution of equation ...new numerical method, which we call the forward-backward Euler-Maruyama ...FBEM scheme enables us ... See full document
21
The truncated Euler–Maruyama method for stochastic differential equations
... both drift coefficient and the diffusion coefficient are C 1 (unbounded derivatives of ...the drift coefficient or the diffusion coefficient being ...to study the ... See full document
22
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
... θ-EM scheme, which is known as the BEM when θ = 1, to approximate the solution of equation ...new numerical method, which we call the forward-backward Euler-Maruyama ...FBEM scheme enables us ... See full document
21
Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
... to numerical sta- tionary distributions of stochastic differential ...explicit Euler–Maruyama (EM) method was used due to the simple struc- ture and moderate computational cost ...the ... See full document
28
The truncated Milstein method for stochastic differential equations with commutative noise
... the drift and diffusion coefficients in the numerical ...tamed Euler method [22,23] is one of the most popular explicit methods that were developed particularly for the super-linear ...strong ... See full document
13
Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations
... truncated Euler–Maruyama method is employed together with the Multi-level Monte Carlo method to approximate expectations of some func- tions of solutions to stochastic differential equations ... See full document
12
Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
... tamed Euler method and the modified tamed Euler ...two numerical experiments and compute the errors between the true solution and the numerical solutions obtained by different ...tamed ... See full document
16
Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
... SDEs—to study the strong convergence question for numerical approximations under the local Lipschitz ...to study the numerical solutions to SDEs without the linear growth condition ... See full document
19
Stability of Exponential Euler Method for Linear Stochastic Delay Differential Equations
... exponential Euler method to linear stochastic delay differential equations ...we study the exponential stability in mean square of the exact solution to LSDDEs by using the definition ... See full document
6
An Upwind-mixed Finite Element Method with Moving Grids for Quasi-nonlinear Sobolev Equations
... Sobolev equations is approximated by the upwind method, and the diffusion term is discretized by an expanded mixed finite element ...of numerical experiments, which confirm our theoretical ... See full document
6
A branching particle system approximation for a class of FBSDEs
... new numerical scheme for a class of coupled forward- backward stochastic differential ...step scheme and the Euler Scheme, we defined a new numerical solution of ... See full document
34
The truncated Euler-Maruyama method for stochastic differential delay equations
... the convergence in L q of the truncated EM solutions to the true ...the convergence was in the asymptotic form without the convergence ...the convergence rate in L 2 but the technique ... See full document
26
On numerical solutions of fuzzy differential equations
... Fuzzy Differential Equations has been attracting a rapidly growing number of researchers in recent ...some numerical algorithms for fuzzy ordinary differential equations are ... See full document
9
Computational method based on triangular operational matrices for solving nonlinear stochastic differential equations
... new numerical method based on triangular functions for solving nonlinear stochastic differential equations is ...the stochastic operational matrix of triangular functions for Itˆ o ... See full document
11
A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
... x + y z Γ is the solution of Scheme 1. For the sake of simplicity, we only consider one-dimensional BSDEs ( i e m . ., = = d 1 ) . However, all error estimate that we obtain in the sequel also hold for general ... See full document
8
Optimal rate of convergence for stochastic Burgers type equations
... The rate of convergence obtained in [21] was “almost” 1 6 , in the sense that it is 1 6 − κ for any κ > ...consider convergence of the solutions in the Hölder spaces of the regularities close to ... See full document
37
Rate of convergence from the rotating Euler and shallow water equations to the rotating lake equations
... no convergence rate was given in ...the rate of convergence without introducing the correction ...the convergence of √ h u to √ ... See full document
9
Stochastic Runge-Kutta method for stochastic delay differential equations
... [10] had verified that Runge–Kutta methods are natural candidates for solving DDEs because they can be easily modified to handle discontinuities. On the other hand, SDE was taken care by the SRK. It is a derivative-free ... See full document
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