A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift

DOI10.1214/16-AAP1262zbMath1373.60102arXiv1512.02807MaRDI QIDQ1676445

Gunther Leobacher, Michaela Szölgyenyi

Publication date: 7 November 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.02807

zbMATH Keywords

stochastic differential equationsdegenerate diffusionexistence and uniqueness of solutionsdiscontinuous driftstrong convergence ratenumerical methods for stochastic differential equations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

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