A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (Q2479587)
From MaRDI portal
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
