A numerical method for SDEs with discontinuous drift

DOI10.1007/s10543-015-0549-xzbMath1341.65005arXiv1503.08005OpenAlexW2082427978MaRDI QIDQ285276

Michaela Szölgyenyi, Gunther Leobacher

Publication date: 19 May 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08005

zbMATH Keywords

convergencenumerical exampleBrownian motionstochastic differential equationsdiscontinuous driftEuler-Marayama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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