This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function in the spatial variable, in particular being a ½-Hölder continuous function of time taking values in a Hölder-Zygmund space C−γ of negative order −γ < 0. We design an Euler– Maruyama numerical scheme and prove its convergence, obtaining an upper bound for the strong L1 convergence rate. We finally implement the scheme and discuss the results obtained.
Convergence rate of numerical scheme for SDEs with a distributional drift in Besov space
Issoglio, Elena
;Palczewski, Jan
2025-01-01
Abstract
This paper is concerned with numerical solutions of one-dimensional SDEs with the drift being a generalised function in the spatial variable, in particular being a ½-Hölder continuous function of time taking values in a Hölder-Zygmund space C−γ of negative order −γ < 0. We design an Euler– Maruyama numerical scheme and prove its convergence, obtaining an upper bound for the strong L1 convergence rate. We finally implement the scheme and discuss the results obtained.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
m2an230258.pdf
Accesso riservato
Dimensione
873.07 kB
Formato
Adobe PDF
|
873.07 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
