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Approximating and Simulating Multivalued Stochastic Differential Equations
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Dominique Lepingle
Veröffentlicht/Copyright:
2004
We propose a two-step simulation scheme for the solution of a singular stochastic differential equation with exploding drift. First we estimate the strong order of the Yosida approximation. Then we use a semi-implicit Euler scheme to discretize the approximate solution. Numerical experiments are displayed for the paths of Brownian particles with strong repulsive interaction. We also present two simple simulation schemes for Bessel processes with arbitrary dimension.
Key Words: Multivalued stochastic differential equations,; Yosida approximation,; interacting Brownian particles,; semi-implicit scheme.
Published Online: --
Published in Print: 2004-06-01
Copyright 2004, Walter de Gruyter
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Artikel in diesem Heft
- Exact simulation of nonlinear coagulation processes
- Discrepancy of van der Corput sequences generated by piecewise linear transformations
- Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting
- Approximating and Simulating Multivalued Stochastic Differential Equations
- Numerical Modeling of Large Scale Transport of Contminant Solutes Using the Global Random Walk Algorithm
- Editorial Board
Schlagwörter für diesen Artikel
Multivalued stochastic differential equations,;
Yosida approximation,;
interacting Brownian particles,;
semi-implicit scheme.
Artikel in diesem Heft
- Exact simulation of nonlinear coagulation processes
- Discrepancy of van der Corput sequences generated by piecewise linear transformations
- Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting
- Approximating and Simulating Multivalued Stochastic Differential Equations
- Numerical Modeling of Large Scale Transport of Contminant Solutes Using the Global Random Walk Algorithm
- Editorial Board
