Journal article
Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
Stochastic processes and their applications, Vol.76(1), pp.33-44
1998
DOI: 10.1016/S0304-4149(98)00020-9
Abstract
We prove that, under appropriate conditions, the sequence of approximate solutions constructed according to the Euler scheme converges weakly to the (unique) solution of a stochastic differential equation with discontinuous coefficients. We also obtain a sufficient condition for the existence of a solution to a stochastic differential equation with discontinuous coefficients. These results are then applied to justify the technique of simulating continuous-time threshold autoregressive moving-average processes via the Euler scheme.
Details
- Title: Subtitle
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- Creators
- K. S Chan - University of IowaO Stramer - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Stochastic processes and their applications, Vol.76(1), pp.33-44
- DOI
- 10.1016/S0304-4149(98)00020-9
- ISSN
- 0304-4149
- eISSN
- 1879-209X
- Publisher
- Elsevier Science
- Language
- English
- Date published
- 1998
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257738302771
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