The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
Abstract The Euler scheme is one of the standard schemes to obtain numerical approximations of solutions of stochastic differential equations (SDEs). Its convergence properties are well known in the case of globally Lipschitz continuous coefficients. However, in many situations, relevant systems do...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2019-10-01
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| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1186/s13662-019-2361-4 |