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 Online: 2020
The title of a journal, publication series: IMA Journal of Numerical Analysis : IMAJNA
Volume: tba
Page range: 1-28
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 (Neuenkirch 2013-)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.

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