An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis

Neuenkirch, Andreas ; Szölgyenyi, Michaela ; Szpruch, Lukasz

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Document Type: Article
Year of publication: 2019
The title of a journal, publication series: SIAM Journal on Numerical Analysis
Volume: 57
Issue number: 1
Page range: 378-403
Place of publication: Philadelphia, PA
Publishing house: SIAM
ISSN: 0036-1429 , 1095-7170
Publication language: English
Institution: School of Business Informatics and Mathematics > Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.

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