A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift (Q1676445)
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scientific article; zbMATH DE number 6803466
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| English | A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift |
scientific article; zbMATH DE number 6803466 |
Statements
A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift (English)
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7 November 2017
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stochastic differential equations
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discontinuous drift
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degenerate diffusion
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existence and uniqueness of solutions
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numerical methods for stochastic differential equations
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strong convergence rate
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0.8957420587539673
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0.8865904211997986
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0.8599345088005066
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0.8529412150382996
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