A Convergence Result for the Euler-Maruyama Method for a Simple Stochastic Differential Equation with Discontinuous Drift

Research output: Contribution to book/anthology/report/conference proceedingArticle in proceedingResearchpeer-review

3 Citations (Scopus)

Abstract

The Euler-Maruyama method is applied to a simple stochastic differential equation (SDE) with discontinuous drift. Convergence aspects are investigated in the case, where the Euler-Maruyama method is simulated in dyadic points. A strong rate of convergence is presented for the numerical simulations and it is shown that the produced sequences converge almost surely. This is an improvement of the general result for SDEs with discontinuous drift, i.e. that the Euler-Maruyama approximations converge in probability to a strong solution of the SDE. A numerical example is presented together with a confidence interval for the numerical solutions.
Original languageEnglish
Title of host publicationAmerican Control Conference (ACC), 2014
Number of pages6
PublisherIEEE Press
Publication date2014
Pages5180 - 5185
ISBN (Print)978-1-4799-3272-6
DOIs
Publication statusPublished - 2014
Event2014 American Control Conference (ACC) - Portland, OR, United States
Duration: 4 Jun 20146 Jun 2014

Conference

Conference2014 American Control Conference (ACC)
Country/TerritoryUnited States
CityPortland, OR
Period04/06/201406/06/2014
SeriesAmerican Control Conference
ISSN0743-1619

Fingerprint

Dive into the research topics of 'A Convergence Result for the Euler-Maruyama Method for a Simple Stochastic Differential Equation with Discontinuous Drift'. Together they form a unique fingerprint.

Cite this