A modified Euler-Maruyama method is proposed and proven to converge weakly with order 1 to one-dimensional sticky diffusions.
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The authors give practical implementations of order-1/2 and order-1 strong schemes for SDDEs with arbitrary fixed delays by combining linear interpolation on a fixed mesh and an augmented variable-step mesh that includes all required delay points.
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A modified Euler-Maruyama method to simulate a one-dimensional sticky diffusion
A modified Euler-Maruyama method is proposed and proven to converge weakly with order 1 to one-dimensional sticky diffusions.
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Implementation of Milstein Schemes for Stochastic Delay-Differential Equations with Arbitrary Fixed Delays
The authors give practical implementations of order-1/2 and order-1 strong schemes for SDDEs with arbitrary fixed delays by combining linear interpolation on a fixed mesh and an augmented variable-step mesh that includes all required delay points.