Multivalued Stochastic Differential Equations: Convergence of a Numerical Scheme

被引：0

作者：

Frédéric Bernardin

机构：

[1] URA 1652 CNRS,Département Génie Civil et Bâtiment, Laboratoire Géomatériaux, Ecole Nationale des Travaux Publics de l'Etat

[2] Université Claude Bernard Lyon I,UMR 5585 CNRS, MAPLY, Laboratoire de mathématiques appliquées de Lyon

来源：

Set-Valued Analysis | 2003年 / 11卷

关键词：

stochastic differential equations; maximal monotone operators; numerical scheme; Skorokhod problem; numerical experiments;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper we show the strong mean square convergence of a numerical scheme for a Rd-multivalued stochastic differential equation: dXt+A(Xt) dt∋b(t,Xt) dt+σ(t,Xt) dWt and obtain the rate of convergence O((δ log (1/δ)1/2) when the diffusion coefficient is bounded. By introducing a discrete Skorokhod problem, we establish Lp-estimates (p≥2) for the solutions and prove the convergence by using a deterministic result. Numerical experiments for the rate of convergence are presented.

引用

页码：393 / 415

页数：22

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