8th International Congress on Industrial and Applied Mathematics, ICIAM 2015
Sprache des Tagungstitel:
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.
The algorithm is shown to have strong order convergence rate 1/2.
Furthermore, the algorithm is shown, under mild additional assumptions,
to be equivalent to a multidimensional
integration problem of a function with bounded variation, making it useful for
Numerical examples illustrate the theoretical findings.