A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (Q2479587): Difference between revisions

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Latest revision as of 20:56, 27 June 2024

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A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
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    A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (English)
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    4 April 2008
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    convergence
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    Euler-Maruyama scheme
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    stochastic differential equation
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    discontinuous monotone drift coefficient
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    Heaviside function
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    additive noise
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