A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (Q2479587): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10543-008-0164-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2061240738 / rank | |||
Normal rank | |||
Revision as of 19:54, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient |
scientific article |
Statements
A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (English)
0 references
4 April 2008
0 references
convergence
0 references
Euler-Maruyama scheme
0 references
stochastic differential equation
0 references
discontinuous monotone drift coefficient
0 references
Heaviside function
0 references
additive noise
0 references
