• 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