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Approximating and simulating multivalued stochastic differential equations. (English) Zbl 1066.65015
The authors propose simulation schemes that allow to approximate singular stochastic differential equations with potentially exploding drift. The strong convergence of the proposed semi-implicit schemes is shown. Simulation experiments are performed including Bessel processes of general dimension.

MSC:
65C30 Numerical solutions to stochastic differential and integral equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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