Approximating and Simulating Multivalued StochasticDifferential Equations
| LEADER | caa a22 4500 | ||
|---|---|---|---|
| 001 | 378943693 | ||
| 003 | CHVBK | ||
| 005 | 20180305123659.0 | ||
| 007 | cr unu---uuuuu | ||
| 008 | 161128e20040601xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1515/156939604777303244 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.1515/156939604777303244 | ||
| 245 | 0 | 0 | |a Approximating and Simulating Multivalued StochasticDifferential Equations |h [Elektronische Daten] |c [Dominique Lepingle, Nguyen Thi Thao] |
| 520 | 3 | |a We propose a two-step simulation scheme for the solution of a singular stochastic differential equation with exploding drift. First we estimate the strong order of the Yosida approximation. Then we use a semi-implicit Euler scheme to discretize the approximate solution. Numerical experiments are displayed for the paths of Brownian particles with strong repulsive interaction. We also present two simple simulation schemes for Bessel processes with arbitrary dimension. | |
| 540 | |a Copyright 2004, Walter de Gruyter | ||
| 690 | 7 | |a Multivalued stochastic differential equations |2 nationallicence | |
| 690 | 7 | |a Yosida approximation |2 nationallicence | |
| 690 | 7 | |a interacting Brownian particles |2 nationallicence | |
| 690 | 7 | |a semi-implicit scheme |2 nationallicence | |
| 700 | 1 | |a Lepingle |D Dominique |u MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 |4 aut | |
| 700 | 1 | |a Thao |D Nguyen Thi |u MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 |4 aut | |
| 773 | 0 | |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 10/2(2004-06-01), 129-152 |x 0929-9629 |q 10:2<129 |1 2004 |2 10 |o mcma | |
| 856 | 4 | 0 | |u https://doi.org/10.1515/156939604777303244 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1515/156939604777303244 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Lepingle |D Dominique |u MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Thao |D Nguyen Thi |u MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Monte Carlo Methods and Applications |d Walter de Gruyter |g 10/2(2004-06-01), 129-152 |x 0929-9629 |q 10:2<129 |1 2004 |2 10 |o mcma | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||