Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion (Q2028043)
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scientific article; zbMATH DE number 7352583
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| English | Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion |
scientific article; zbMATH DE number 7352583 |
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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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0.8301717638969421
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0.6972922682762146
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0.6687682271003723
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0.6670575737953186
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0.6637611389160156
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