Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion (Q2028043)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion |
scientific article |
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Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion (English)
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31 May 2021
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stochastic hybrid systems
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stochastic differential equations
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numerical integration algorithms
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convergence analysis
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Euler-Maruyama scheme
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