Approximating and Simulating Multivalued Stochastic Differential Equations
Lepingle, Dominique ; Nguyen, Thi Thao
HAL, hal-00003500 / Harvested from HAL
Text on HAL
A simulation scheme is proposed for the solution of a singular stochastic differential equation with exploding drift. The order of the Yosida approximation is firstly estimated. Then a semi-implicit Euler scheme is used to discretize the approximate solution.
Publié le : 2004-07-05
Classification:  Yosida approximation,  Multivalued stochastic differential equation,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00003500,
     author = {Lepingle, Dominique and Nguyen, Thi Thao},
     title = {Approximating and Simulating Multivalued Stochastic Differential Equations},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00003500}
}

Lepingle, Dominique; Nguyen, Thi Thao. Approximating and Simulating Multivalued Stochastic Differential Equations. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00003500/