The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

DOI10.1186/s13662-019-2361-4zbMath1487.65009arXiv1705.04562OpenAlexW2979677010WikidataQ127104307 ScholiaQ127104307MaRDI QIDQ2141948

Kerstin Lux, Simone Goettlich, Andreas Neuenkirch

Publication date: 25 May 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.04562

zbMATH Keywords

convergence ratesnumerical schemesdiscontinuous driftexperimental study

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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