Add to ORKGThis is an abridged version submitted in a conference proceedings.International audienceIn this paper, weak approximations of multi-dimensional stochastic differential equations with discontinuous drift coefficients are considered. Here as the approximated process, the Euler-Maruyama approximation of SDEs with approximated drift coefficients is used, and we provide a rate of weak convergence of them. Finally we present a rate of weak convergence of the Euler-Maruyama approximation of the original SDEs with constant diffusion coefficients
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
AbstractWe prove that, under appropriate conditions, the sequence of approximate solutions construct...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
We consider an Euler-Maruyama type approximation methods for a Stochastic Differential Equation (SDE...
International audienceWe consider an Euler-Maruyama type approximation method for a stochastic diffe...
We prove strong convergence of order 1/4 - E for arbitrarily small E > 0 of the Euler-Maruyama meth...
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stocha...
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...
AbstractConvergence of stochastic processes with jumps to diffusion processes is investigated in the...
We study the weak approximation error of a skew diffusion with bounded measurable drift and Hölder d...
The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of s...
This thesis is dedicated to the theoretical and numerical study of the weak error for time and parti...
We are interested in the time discretization of stochastic differential equations with additive d-di...
In this dissertation, we consider the problem of simulation of stochastic differential equations dri...
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
AbstractWe prove that, under appropriate conditions, the sequence of approximate solutions construct...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...
We consider an Euler-Maruyama type approximation methods for a Stochastic Differential Equation (SDE...
International audienceWe consider an Euler-Maruyama type approximation method for a stochastic diffe...
We prove strong convergence of order 1/4 - E for arbitrarily small E > 0 of the Euler-Maruyama meth...
In this paper, we investigate the weak convergence rate of Euler-Maruyama’s approximation for stocha...
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...
AbstractConvergence of stochastic processes with jumps to diffusion processes is investigated in the...
We study the weak approximation error of a skew diffusion with bounded measurable drift and Hölder d...
The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of s...
This thesis is dedicated to the theoretical and numerical study of the weak error for time and parti...
We are interested in the time discretization of stochastic differential equations with additive d-di...
In this dissertation, we consider the problem of simulation of stochastic differential equations dri...
AbstractIn this paper, we are concerned with the numerical approximation of stochastic differential ...
AbstractWe prove that, under appropriate conditions, the sequence of approximate solutions construct...
Models based on SDEs have applications in many disciplines, but in pratical applications calculating...