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Approximating and Simulating Multivalued Stochastic Differential Equations

Author

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  • Lepingle Dominique
  • Thao Nguyen Thi

Abstract

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.

Suggested Citation

  • Lepingle Dominique & Thao Nguyen Thi, 2004. "Approximating and Simulating Multivalued Stochastic Differential Equations," Monte Carlo Methods and Applications, De Gruyter, vol. 10(2), pages 129-152, June.
    • Handle: RePEc:bpj:mcmeap:v:10:y:2004:i:2:p:129-152:n:4
    DOI: 10.1515/156939604777303244
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