Approximating and Simulating Multivalued Stochastic Differential Equations

Lepingle Dominique and Thao Nguyen Thi

Monte Carlo Methods and Applications, 2004, vol. 10, issue 2, 129-152

Abstract: We propose a two-step simulation scheme for the solution of a singular stochastic differential equation with exploding drift. First we estimate the strong order of the Yosida approximation. Then we use a semi-implicit Euler scheme to discretize the approximate solution. Numerical experiments are displayed for the paths of Brownian particles with strong repulsive interaction. We also present two simple simulation schemes for Bessel processes with arbitrary dimension.

Keywords: Multivalued stochastic differential equations; Yosida approximation; interacting Brownian particles; semi-implicit scheme. (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1515/156939604777303244

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