Article
Licensed
Unlicensed
Requires Authentication
Approximating and Simulating Multivalued Stochastic Differential Equations
-
Dominique Lepingle
Published/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
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- 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
Keywords for this article
Multivalued stochastic differential equations,;
Yosida approximation,;
interacting Brownian particles,;
semi-implicit scheme.
Articles in the same Issue
- 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
