Add to ORKGIn this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. We apply two approaches: The Euler-Maruyama method and the Fokker-Planck equation and show that a candidate density function based on the Euler-Maruyama method approximates a candidate density function based on the stationary Fokker-Planck equation. Furthermore, we introduce a smooth function which approximates the discontinuous drift and apply the Euler-Maruyama method and the Fokker-Planck equation with this input. The point of departure for this work is a particular SDE with discontinuous drift.
This is an abridged version submitted in a conference proceedings.International audienceIn this pape...
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared i...
In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drif...
The Euler-Maruyama method is applied to a simple stochastic differential equation (SDE) with discont...
The existence of a mean-square continuous strong solution is established for vector-valued Ito ̂ sto...
In this paper, we will consider the existence of a strong solution for stochastic differential equat...
We consider an Euler-Maruyama type approximation methods for a Stochastic Differential Equation (SDE...
To avoid finding the stationary distributions of stochastic differential equations by solving the no...
The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of s...
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic dif...
AbstractWe prove that, under appropriate conditions, the sequence of approximate solutions construct...
International audienceWe consider an Euler-Maruyama type approximation method for a stochastic diffe...
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stocha...
Röckner M, Zhu R, Zhu X. A note on stochastic semilinear equations and their associated Fokker-Planc...
This is an abridged version submitted in a conference proceedings.International audienceIn this pape...
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared i...
In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drif...
The Euler-Maruyama method is applied to a simple stochastic differential equation (SDE) with discont...
The existence of a mean-square continuous strong solution is established for vector-valued Ito ̂ sto...
In this paper, we will consider the existence of a strong solution for stochastic differential equat...
We consider an Euler-Maruyama type approximation methods for a Stochastic Differential Equation (SDE...
To avoid finding the stationary distributions of stochastic differential equations by solving the no...
The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of s...
The Euler scheme is one of the standard schemes to obtain numerical approximations of stochastic dif...
AbstractWe prove that, under appropriate conditions, the sequence of approximate solutions construct...
International audienceWe consider an Euler-Maruyama type approximation method for a stochastic diffe...
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stocha...
Röckner M, Zhu R, Zhu X. A note on stochastic semilinear equations and their associated Fokker-Planc...
This is an abridged version submitted in a conference proceedings.International audienceIn this pape...
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared i...