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arXiv 2001.07483math.NAcs.NA
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随机微分方程半离散方法的收敛速度

Convergence rates of the Semi-Discrete method for stochastic differential equations

Ioannis S. Stamatiou, Nikolaos Halidias

摘要:

我们研究了Halidias(2012),离散逼近for随机微分方程and applications,International Journal of Computer Mathematics,89(6)中最初提出的半离散(SD)方法的收敛速度。SD数值方法最初主要用于再现非线性随机微分方程的定性性质。SD方法的强收敛性已经得到了证明,但除了某些特殊类型的SDES外,没有研究过SD方法的阶。我们研究了L2-收敛的阶,并证明了它可以任意接近1/2。理论研究结果得到了数值实验的支持。

英文摘要:

We study the convergence rates of the semi-discrete (SD) method originally proposed in Halidias (2012), Semi-discrete approximations for stochastic differential equations and applications, International Journal of Computer Mathematics, 89(6). The SD numerical method was originally designed mainly to reproduce qualitative properties of nonlinear stochastic differential equations (SDEs). The strong convergence property of the SD method has been proved, but except for certain classes of SDEs, the order of the method was not studied. We study the order of L2-convergence and show that it can be arbitrarily close to 1/2. The theoretical findings are supported by numerical experiments.

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