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5. Simulation of SDEs with Discontinuous Drift

Simulation of SDEs with Discontinuous Drift

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：juezhan2010

【摘 要】

：

　　We present an algorithm for the numerical treatment of stochastic differential equations(SDEs)with discontinuous drift.This kind of SDEs appears naturally i

【作 者】

：

Leobacher Gunther 

【机 构】

：

Johannes Kepler Univ.Linz

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We present an algorithm for the numerical treatment of stochastic differential equations(SDEs)with discontinuous drift.This kind of SDEs appears naturally in stochastic optimal control problems from mathematical finance.

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