Simulation of SDEs with discontinuous drift

  • Gunther Leobacher (Speaker)
  • Michaela Szölgyenyi (Speaker)

Activity: Talk or presentation › Contributed talk › unknown

Description

We present an algorithm for the numerical treatment of stochastic differential equations (SDEs) with discontinuous drift. This kind of SDEs appears naturally in stochastic optimal control problems from mathematical finance. The algorithm is shown to have strong order convergence rate 1/2. Furthermore, the algorithm is shown, under mild additional assumptions, to be equivalent to a multidimensional integration problem of a function with bounded variation, making it useful for QMC. Numerical examples illustrate the theoretical findings.
Period11 Aug 2015
Event title8th International Congress on Industrial and Applied Mathematics, ICIAM 2015
Event typeConference
LocationChinaShow on map

Fields of science

  • 101 Mathematics
  • 101019 Stochastics
  • 101007 Financial mathematics
  • 101025 Number theory

JKU Focus areas

  • Computation in Informatics and Mathematics