caa a22 4500 378943693 CHVBK 20180305123659.0 cr unu---uuuuu 161128e20040601xx s 000 0 eng 10.1515/156939604777303244 doi (NATIONALLICENCE)gruyter-10.1515/156939604777303244 Approximating and Simulating Multivalued StochasticDifferential Equations [Elektronische Daten] [Dominique Lepingle, Nguyen Thi Thao] 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. Copyright 2004, Walter de Gruyter Multivalued stochastic differential equations nationallicence Yosida approximation nationallicence interacting Brownian particles nationallicence semi-implicit scheme nationallicence Lepingle Dominique MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 aut Thao Nguyen Thi MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 aut Monte Carlo Methods and Applications Walter de Gruyter 10/2(2004-06-01), 129-152 0929-9629 10:2<129 2004 10 mcma https://doi.org/10.1515/156939604777303244 text/html Onlinezugriff via DOI 1 research article jats NATIONALLICENCE 856 40 https://doi.org/10.1515/156939604777303244 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Lepingle Dominique MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 aut NATIONALLICENCE 700 1- Thao Nguyen Thi MAPMO, Université d'Orléans, F-45067 Orléans Cedex2 aut NATIONALLICENCE 773 0- Monte Carlo Methods and Applications Walter de Gruyter 10/2(2004-06-01), 129-152 0929-9629 10:2<129 2004 10 mcma CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-gruyter