Approximation for non-smooth functionals of stochastic differential equations with irregular drift

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:457

Article

Ngo, Hoang-Long¹  Taguchi, Dai² 

[1] Hanoi Natl Univ Educ, 136 Xuan Thuy, Hanoi, Vietnam

[2] Osaka Univ, 1-3 Machikaneyama Cho, Toyonaka, Osaka 5608531, Japan

关键词: Euler-Maruyama approximation;    Irregular drift;    Monte Carlo method;    Reflected stochastic differential equation;    Weak approximation;   

DOI  :  10.1016/j.jmaa.2017.08.006

来源: Elsevier

【 摘 要 】

This paper aims at developing a systematic study for the weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with very irregular drift and constant diffusion coefficients. We apply our method to obtain the rates of approximation for the expectation of various non-smooth functionals of both stochastic differential equations and killed diffusion. We also apply our method to the study of the weak approximation of reflected stochastic differential equations whose drift is Holder continuous. (c) 2017 Elsevier Inc. All rights reserved.

【 授权许可】

Free