DocumentCode
184641
Title
A convergence result for the Euler-Maruyama method for a simple stochastic differential equation with discontinuous drift
Author
Simonsen, Maria ; Schioler, Henrik ; Leth, John ; Cornean, Horia
Author_Institution
Dept. of Electron. Syst., Aalborg Univ., Aalborg, Denmark
fYear
2014
fDate
4-6 June 2014
Firstpage
5180
Lastpage
5185
Abstract
The Euler-Maruyama method is applied to a simple stochastic differential equation (SDE) with discontinuous drift. Convergence aspects are investigated in the case, where the Euler-Maruyama method is simulated in dyadic points. A strong rate of convergence is presented for the numerical simulations and it is shown that the produced sequences converge almost surely. This is an improvement of the general result for SDEs with discontinuous drift, i.e. that the Euler-Maruyama approximations converge in probability to a strong solution of the SDE. A numerical example is presented together with a confidence interval for the numerical solutions.
Keywords
approximation theory; convergence of numerical methods; differential equations; Euler-Maruyama approximations; Euler-Maruyama method; SDE with discontinuous drift; confidence interval; convergence aspects; numerical simulations; simple stochastic differential equation; Approximation methods; Atmospheric modeling; Convergence; Differential equations; Mathematical model; Numerical models; Stochastic processes; Stochastic systems; Switched systems;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference (ACC), 2014
Conference_Location
Portland, OR
ISSN
0743-1619
Print_ISBN
978-1-4799-3272-6
Type
conf
DOI
10.1109/ACC.2014.6859208
Filename
6859208
Link To Document