Approximating and Simulating Multivalued Stochastic Differential Equations
Nguyen, Thi Thao ; Lépingle, Dominique
HAL, hal-00079333 / Harvested from HAL
Text on HAL
The solution to a multivalued stochastic differential equation is first strongly approximated by its Yosida approximation. Then this approximation is itself approximatively simulated by a semi-implicit Euler scheme and the strong order of convergence is evaluated in terms of the time step.
Publié le : 2004-07-05
Classification:  multivalued stochastic differential equation,  semi-implicit Euler scheme,  60H10,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00079333,
     author = {Nguyen, Thi Thao and L\'epingle, Dominique},
     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-00079333}
}

Nguyen, Thi Thao; Lépingle, Dominique. Approximating and Simulating Multivalued Stochastic Differential Equations. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00079333/