Approximating and Simulating Multivalued Stochastic Differential Equations

Abstract : The solution to a multivalued stochastic differential equation is first strongly approximated by its Yosida approximation. Then this approximation is itself approximatively simulated by a semi-implicit Euler scheme and the strong order of convergence is evaluated in terms of the time step.
Document type :
Journal articles
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-00079333
Contributor : Dominique Lepingle <>
Submitted on : Monday, June 12, 2006 - 12:22:54 PM
Last modification on : Wednesday, April 17, 2019 - 2:30:21 PM

Identifiers

  • HAL Id : hal-00079333, version 1

Collections

Citation

Thi Thao Nguyen, Dominique Lépingle. Approximating and Simulating Multivalued Stochastic Differential Equations. Monte Carlo Methods and Applications, De Gruyter, 2004, 10, pp.129-152. ⟨hal-00079333⟩

Share

Metrics

Record views

107