A strong order 3/4 method for SDEs with discontinuous drift coefficient

Erstveröffentlichung

2022

Authors

Müller-Gronbach, Thomas

Yaroslavtseva, Larisa

Wissenschaftlicher Artikel

Published in

IMA Journal of Numerical Analysis ; 42 (2022), 1. - S. 229-259. - ISSN 0272-4979. - eISSN 1464-3642

Link to publication

https://dx.doi.org/10.1093/imanum/draa078

Faculties

Fakultät für Mathematik und Wirtschaftswissenschaften

Institutions

Institut für Stochastik

Subject headings

[Free subject headings]: Stochastic differential equations | discontinuous drift coefficient | strong approximation | Milstein scheme | STOCHASTIC DIFFERENTIAL-EQUATIONS | EULER-MARUYAMA SCHEME | MULTIDIMENSIONAL SDES | CONVERGENCE | APPROXIMATION
[DDC subject group]: DDC 510 / Mathematics

Metadata

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