Approximating and Simulating Multivalued Stochastic Differential Equations

Dominique Lepingle (1) , Thi Thao Nguyen (1)

1 MAPMO - Mathématiques - Analyse, Probabilités, Modélisation - Orléans

A simulation scheme is proposed for the solution of a singular stochastic differential equation with exploding drift. The order of the Yosida approximation is firstly estimated. Then a semi-implicit Euler scheme is used to discretize the approximate solution.

Mots clés: Yosida approximation; Multivalued stochastic differential equation

Domaines: Probabilités [math.PR]

Dominique Lepingle, Thi Thao Nguyen. Approximating and Simulating Multivalued Stochastic Differential Equations. Monte Carlo Methods and Applications, 2004, 10, pp.129-152. ⟨hal-00003500⟩