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

DOI10.1093/imanum/draa078OpenAlexW2937679722MaRDI QIDQ5024877

Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 27 January 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09178

zbMATH Keywords

stochastic differential equationsstrong approximationMilstein schemediscontinuous drift coefficient

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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