On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Communication Dans Un Congrès Année : 2012

On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient

Résumé

In this paper, weak approximations of multi-dimensional stochastic differential equations with discontinuous drift coefficients are considered. Here as the approximated process, the Euler-Maruyama approximation of SDEs with approximated drift coefficients is used, and we provide a rate of weak convergence of them. Finally we present a rate of weak convergence of the Euler-Maruyama approximation of the original SDEs with constant diffusion coefficients.
Fichier principal
Vignette du fichier
kohatsu_lejay_yasuda_abridged.pdf (143.48 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00670123 , version 1 (15-02-2012)

Identifiants

  • HAL Id : hal-00670123 , version 1

Citer

Arturo Kohatsu-Higa, Antoine Lejay, Kazuhiro Yasuda. On Weak Approximation of Stochastic Differential Equations with Discontinuous Drift Coefficient. Mathematical Economics, Oct 2011, Kyoto, Japan. pp.94-106. ⟨hal-00670123⟩
369 Consultations
600 Téléchargements

Partager

Gmail Facebook X LinkedIn More