Szczegóły publikacji
Opis bibliograficzny
Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm / Paweł PRZYBYŁOWICZ, Paweł MORKISZ // Applied Numerical Mathematics ; ISSN 0168-9274. — 2014 — vol. 78, s. 80–94. — Bibliogr. s. 94, Abstr. — Publikacja dostępna online od: 2013-12-31
Autorzy (2)
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 79201 |
|---|---|
| Data dodania do BaDAP | 2014-01-22 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.apnum.2013.12.003 |
| Rok publikacji | 2014 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Applied Numerical Mathematics |
Abstract
We investigate pointwise approximation of the solution of a scalar stochastic differential equation in case when drift coefficient is a Caratheodory mapping and diffusion coefficient is only piecewise Holder continuous with Holder exponent rho is an element of (0, 1 vertical bar. Since under imposed assumptions drift is only measurable with respect to the time variable, the classical Euler algorithm does not converge in general to the solution of such equation. We give a construction of the randomized Euler scheme and prove that it has the error O(n(-min{rho.1/2})), where n is the number of discretization points. We also investigate the optimality of the defined algorithm. (C) 2013 IMACS. Published by Elsevier B.V. All rights reserved.
