Stochastic differential equations | Vidéo | Carmin.tv

00:00:00 / 00:00:00

Stochastic differential equations

De Gunther Leobacher

Apparaît dans la collection : Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

In the second part we show how the classical result can be used also for SDEs with drift that may be discontinuous and diffusion that may be degenerate. In that context I will present a concept of (multidimensional) piecewise Lipschitz drift where the set of discontinuities is a sufficiently smooth hypersurface in the multi-dimensional euclidean space. We discuss geometric properties of the set of discontinuities that are needed to transfer the convergence result from the Lipschitz case to the piecewise Lipschitz case.

Informations sur la vidéo

Date de captation 02/11/2020
Date de publication 02/11/2020
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19680203
Citer cette vidéo Leobacher, Gunther (02/11/2020). Stochastic differential equations. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19680203
URL https://dx.doi.org/10.24350/CIRM.V.19680203

Domaine(s)

Bibliographie

Drmota, M.; Tichy, R.F.: Sequences, discrepancies and applications. Lecture Notes in Mathematics, 1651. Springer-Verlag, Berlin, 1997. - http://dx.doi.org/10.1007/BFb0093404
Kuipers, L.; Niederreiter, H.: Uniform distribution of sequences. Pure and Applied Mathematics. Wiley-Interscience, 1974.
Leobacher, G.; Pillichshammer, F.: Introduction to quasi-Monte Carlo integration and applications. Compact Textbooks in Mathematics. Birkhäuser, Cham, 2014. - http://dx.doi.org/10.1007/978-3-319-03425-6
Leobacher, Gunther; Szölgyenyi, Michaela A strong order 1/2 method for multidimensional SDEs with discontinuous drift.The Annals of Applied Probability, 2017, vol. 27, no 4, p. 2383-2418. - http://dx.doi.org/10.1214/16-AAP1262
Mao, X.: Stochastic differential equations and their applications. Series in Mathematics & Applications. Horwood Publishing Limited, Chichester, 1997 -

Codes MSC

Dernières questions liées sur MathOverflow

Pour poser une question, votre compte Carmin.tv doit être connecté à mathoverflow

Poser une question sur MathOverflow

Copyright Carmin.tv 2026

Donner son avis