A numerical method for SDEs with discontinuous drift

被引：43
|
作者：
Leobacher, Gunther [1 ]
Szoelgyenyi, Michaela [1 ]
机构：
[1] Johannes Kepler Univ Linz, Dept Financial Math & Appl Number Theory, A-4040 Linz, Austria
来源：
BIT NUMERICAL MATHEMATICS | 2016年 / 56卷 / 01期
基金：
奥地利科学基金会;
关键词：
Stochastic differential equations; Discontinuous drift; Numerical methods for stochastic differential equations; EQUATIONS;
D O I：
10.1007/s10543-015-0549-x
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. One the other hand we present a numerical method based on transforming the Euler-Maruyama scheme for such a class of SDEs. We prove convergence of order . Finally, we present numerical examples.
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页码：151 / 162
页数：12
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