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.

引用

页码：151 / 162

页数：12

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