文章基本信息

标题：A new discretization scheme for one dimensional stochastic differential equations using time change method
本地全文：下载
作者：Masaaki Fukasawa ; Mitsumasa Ikeda
期刊名称：Electronic Communications in Probability
印刷版ISSN：1083-589X
出版年度：2021
卷号：26
页码：1-12
DOI：10.1214/21-ECP420
语种：English
出版社：Electronic Communications in Probability
摘要：We propose a new numerical method for one dimensional stochastic differential equations (SDEs). The main idea of this method is based on a representation of a weak solution of an SDE using a time-changed Brownian motion, which dates back to Doeblin (1940). In cases where the diffusion coefficient is bounded and is β-Hölder continuous with 0关键词：60H35; 65C30; 91G60; numerical analysis; Stochastic differential equations