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

DOI:	https://doi.org/10.1137/18M1170017
URL:	https://epubs.siam.org/doi/pdf/10.1137/18M1170017
Additional URL:	https://arxiv.org/abs/1802.04521v3
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.

BASE: Neuenkirch, Andreas ; Szölgyenyi, Michaela ; Szpruch, Lukasz

Google Scholar: Neuenkirch, Andreas ; Szölgyenyi, Michaela ; Szpruch, Lukasz

ORCID: Neuenkirch, Andreas

; Szölgyenyi, Michaela ; Szpruch, Lukasz

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