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Volumn 342, Issue 1, 2006, Pages 51-56

Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient;Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu

(2) Martinez, Miguel a Talay, Denis a

a INRIA (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 30344435002 PISSN: 1631073X EISSN: None Source Type: Journal
DOI: 10.1016/j.crma.2005.10.025 Document Type: Article

Times cited : (16)

References (10)

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2
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- Dirichlet Forms and Symmetric Markov Processes
- Walter de Gruyter
- M. Fukushima Y. Oshima M. Takeda Dirichlet Forms and Symmetric Markov Processes de Gruyter Stud. Math. vol. 19 1994 Walter de Gruyter
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- Fukushima, M.¹ Oshima, Y.² Takeda, M.³

3
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- A scheme for simulating one-dimensional diffusions with discontinuous coefficients
- in press in press
- A. Lejay, M. Martinez, A scheme for simulating one-dimensional diffusions with discontinuous coefficients, Annals Appl. Prob. (2005), in press in press
- (2005) Annals Appl. Prob.
- Lejay, A.¹ Martinez, M.²

4
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- Interprétations probabilistes d'opérateurs sous forme divergence et analyse de méthodes numériques probabilistes associées
- Ph.D. Thesis, université de Provence
- M. Martinez, Interprétations probabilistes d'opérateurs sous forme divergence et analyse de méthodes numériques probabilistes associées, Ph.D. Thesis, université de Provence, 2004
- (2004)
- Martinez, M.¹

5
- 30344485817
- Convergence rate of a Euler discretization scheme for one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
- in preparation
- M. Martinez, D. Talay, Convergence rate of a Euler discretization scheme for one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient, in preparation
- Martinez, M.¹ Talay, D.²

6
- 0001339314
- Un cours sur les intégrales stochastiques
- P.A. Meyer Un cours sur les intégrales stochastiques Sém. Prob. X Lecture Notes in Math. vol. 511 1976 Springer 245-400
- (1976) Lecture Notes in Math. , vol.511 , pp. 245-400
- Meyer, P.A.¹

7
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- Le 'skew-Brownian motion' et les processus qui en dérivent
- Y. Ouknine Le 'skew-Brownian motion' et les processus qui en dérivent The 'skew Brownian motion' and associated processes Teor. Veroyatnost. i Primenen. 35 1 1990 173-179
- (1990) Teor. Veroyatnost. I Primenen. , vol.35 , Issue.1 , pp. 173-179
- Ouknine, Y.¹

8
- 0038434599
- Stochastic representation of reflecting diffusions corresponding to divergence form operators
- A. Rozkosz L. Słomiński Stochastic representation of reflecting diffusions corresponding to divergence form operators Stud. Math. 139 2 2000 141-174
- (2000) Stud. Math. , vol.139 , Issue.2 , pp. 141-174
- Rozkosz, A.¹ Słomiński, L.²

9
- 0008220051
- Probabilistic Models for Nonlinear Partial Differential Equations and Numerical Applications
- D. Talay Probabilistic numerical methods for partial differential equations: Elements of analysis D. Talay L. Tubaro Probabilistic Models for Nonlinear Partial Differential Equations and Numerical Applications Lecture Notes in Math. vol. 1627 1996 Springer 48-196
- (1996) Lecture Notes in Math , vol.1627 , pp. 48-196
- Talay, D.¹

10
- 0036630423
- The Euler scheme with irregular coefficients
- L. Yan The Euler scheme with irregular coefficients Ann. Probab. 30 3 2002 1172-1194
- (2002) Ann. Probab. , vol.30 , Issue.3 , pp. 1172-1194
- Yan, L.¹

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