A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (Q2479587)
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scientific article; zbMATH DE number 5259585
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| English | A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient |
scientific article; zbMATH DE number 5259585 |
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A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient (English)
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4 April 2008
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convergence
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Euler-Maruyama scheme
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stochastic differential equation
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discontinuous monotone drift coefficient
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Heaviside function
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additive noise
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0.8560872673988342
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0.8534367084503174
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0.850840151309967
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0.8444369435310364
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