Dans cette Note nous discrétisons des équations différentielles stochastiques associées à des équations aux dérivées partielles paraboliques unidimensionnelles avec opérateur sous forme divergence dont le coefficient est discontinu en 0. Nous établissons la vitesse de convergence au sens faible.
In this Note, we discretize stochastic differential equations related to one-dimensional parabolic partial differential equations with a divergence form operator whose coefficient is discontinuous at 0. We establish the convergence rate in a weak sense.
Accepté le :
Publié le :
Miguel Martinez 1 ; Denis Talay 1
@article{CRMATH_2006__342_1_51_0,
author = {Miguel Martinez and Denis Talay},
title = {Discr\'etisation d'\'equations diff\'erentielles stochastiques unidimensionnelles \`a g\'en\'erateur sous forme divergence avec coefficient discontinu},
journal = {Comptes Rendus. Math\'ematique},
pages = {51--56},
publisher = {Elsevier},
volume = {342},
number = {1},
year = {2006},
doi = {10.1016/j.crma.2005.10.025},
language = {fr},
}
TY - JOUR AU - Miguel Martinez AU - Denis Talay TI - Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu JO - Comptes Rendus. Mathématique PY - 2006 SP - 51 EP - 56 VL - 342 IS - 1 PB - Elsevier DO - 10.1016/j.crma.2005.10.025 LA - fr ID - CRMATH_2006__342_1_51_0 ER -
%0 Journal Article %A Miguel Martinez %A Denis Talay %T Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu %J Comptes Rendus. Mathématique %D 2006 %P 51-56 %V 342 %N 1 %I Elsevier %R 10.1016/j.crma.2005.10.025 %G fr %F CRMATH_2006__342_1_51_0
Miguel Martinez; Denis Talay. Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu. Comptes Rendus. Mathématique, Volume 342 (2006) no. 1, pp. 51-56. doi : 10.1016/j.crma.2005.10.025. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2005.10.025/
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