Stochastic equations with discontinuous drift
نویسندگان
چکیده
منابع مشابه
On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient1
In this paper, weak approximations of multi-dimensional stochastic differential equations with discontinuous drift coefficients are considered. Here as the approximated process, the Euler-Maruyama approximation of SDEs with approximated drift coefficients is used, and we provide a rate of weak convergence of them. Finally we present a rate of weak convergence of the Euler-Maruyama approximation...
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In this note we propose an exact simulation algorithm for the solution of dXt = dWt + b̄(Xt)dt, X0 = x, (1) where b̄ is a smooth real function except at point 0 where b̄(0+) 6= b̄(0−). The main idea is to sample an exact skeleton of X using an algorithm deduced from the convergence of the solutions of the skew perturbed equation dX β t = dWt + b̄(X β t )dt+ βdL 0 t (X ), X0 = x (2) towards X solutio...
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In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. We apply two approaches: The Euler-Maruyama method and the Fokker-Planck equation and show that a candidate density function based on the Euler-Maruyama method approximates a candidate density function based on the stationary Fokker-Planck equation. Furthermore, we introduce a smooth function ...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1971
ISSN: 0002-9947
DOI: 10.1090/s0002-9947-1971-0275532-6