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A strong order $3/4$ method for SDEs with discontinuous drift coefficient - MaRDI portal

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

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Publication:6317466

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DOI10.1093/IMANUM/DRAA078zbMath1515.65030arXiv1904.09178MaRDI QIDQ6317466

Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 18 April 2019

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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