On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient

Autor:	Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda
Přispěvatelé:	Department of Mathematical Sciences, Ritsumeikan Universtiy, Ritsumeikan University, Faculty of Science and Engineering [Waseda], Waseda University, Institut Élie Cartan de Nancy (IECN), Centre National de la Recherche Scientifique (CNRS)-Institut National Polytechnique de Lorraine (INPL)-Université Nancy 2-Université Henri Poincaré - Nancy 1 (UHP)-Institut National de Recherche en Informatique et en Automatique (Inria), TO Simulate and CAlibrate stochastic models (TOSCA), Inria Sophia Antipolis - Méditerranée (CRISAM), Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Institut Élie Cartan de Lorraine (IECL), Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS)-Université de Lorraine (UL)-Centre National de la Recherche Scientifique (CNRS), Faculty of Science and Engineering, Hosei University, Hosei University [Chiyoda], Chiaki Hara, TOSCA, Waseda University [Tokyo, Japan], Institut National de Recherche en Informatique et en Automatique (Inria)-Université Henri Poincaré - Nancy 1 (UHP)-Université Nancy 2-Institut National Polytechnique de Lorraine (INPL)-Centre National de la Recherche Scientifique (CNRS), Hosei University
Jazyk:	angličtina
Rok vydání:	2011
Předmět:	[MATH.MATH-PR]Mathematics [math]/Probability [math.PR] Euler scheme AMS 60H35 65C30 weak rate of convergence Stochastic Differential Equation with Discontinous drift Mathematics::Numerical Analysis
Zdroj:	Mathematical Economics Mathematical Economics, Oct 2011, Kyoto, Japan. pp.94-106 HAL
Popis:	This is an abridged version submitted in a conference proceedings.; International audience; 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 of the original SDEs with constant diffusion coefficients.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3b20bc05fe199e3a790151ecd9c73a86 https://hal.inria.fr/hal-00670123/file/kohatsu_lejay_yasuda_abridged.pdf Zobrazit plný text záznamu