Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients

Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients
Author :
Publisher : American Mathematical Soc.
Total Pages : 112
Release :
ISBN-10 : 9781470409845
ISBN-13 : 1470409844
Rating : 4/5 (844 Downloads)

Book Synopsis Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients by : Martin Hutzenthaler

Download or read book Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients written by Martin Hutzenthaler and published by American Mathematical Soc.. This book was released on 2015-06-26 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately, moments of the computationally efficient Euler-Maruyama approximation method diverge for these SDEs in finite time. This article develops a general theory based on rare events for studying integrability properties such as moment bounds for discrete-time stochastic processes. Using this approach, the authors establish moment bounds for fully and partially drift-implicit Euler methods and for a class of new explicit approximation methods which require only a few more arithmetical operations than the Euler-Maruyama method. These moment bounds are then used to prove strong convergence of the proposed schemes. Finally, the authors illustrate their results for several SDEs from finance, physics, biology and chemistry.

Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients Related Books

Numerical Approximations of Stochastic Differential Equations with Non-Globally Lipschitz Continuous Coefficients
Language: en
Pages: 112
Authors: Martin Hutzenthaler
Categories: Mathematics
Type: BOOK - Published: 2015-06-26 - Publisher: American Mathematical Soc.

GET EBOOK

Many stochastic differential equations (SDEs) in the literature have a superlinearly growing nonlinearity in their drift or diffusion coefficient. Unfortunately
Stochastic Differential Equations with Markovian Switching
Language: en
Pages: 430
Authors: Xuerong Mao
Categories: Mathematics
Type: BOOK - Published: 2006 - Publisher: Imperial College Press

GET EBOOK

This textbook provides the first systematic presentation of the theory of stochastic differential equations with Markovian switching. It presents the basic prin
Numerical Solution of Stochastic Differential Equations
Language: en
Pages: 666
Authors: Peter E. Kloeden
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

GET EBOOK

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an eas
Applied Stochastic Differential Equations
Language: en
Pages: 327
Authors: Simo Särkkä
Categories: Business & Economics
Type: BOOK - Published: 2019-05-02 - Publisher: Cambridge University Press

GET EBOOK

With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Deformation Theory and Local-Global Compatibility of Langlands Correspondences
Language: en
Pages: 116
Authors: Martin Luu
Categories: Mathematics
Type: BOOK - Published: 2015-10-27 - Publisher: American Mathematical Soc.

GET EBOOK

The deformation theory of automorphic representations is used to study local properties of Galois representations associated to automorphic representations of g