On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient
Autor: | Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda |
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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: | |
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 |
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