The Euler-Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem

Neuenkirch, Andreas ; Szölgyenyi, Michaela

DOI:	https://doi.org/10.1093/imanum/draa007
URL:	https://academic.oup.com/imajna/article/doi/10.109...
Additional URL:	https://arxiv.org/abs/1904.07784
Document Type:	Article
Year of publication:	2021
The title of a journal, publication series:	IMA Journal of Numerical Analysis : IMAJNA
Volume:	41
Issue number:	2
Page range:	1164-1196
Place of publication:	Oxford
Publishing house:	Oxford University Press
ISSN:	0272-4979 , 1464-3642
Publication language:	English
Institution:	School of Business Informatics and Mathematics > Wirtschaftsmathematik II: Stochastische Numerik (Neuenkirch 2013-)
Subject:	510 Mathematics