Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

DOI10.1007/s00211-017-0903-9zbMath1432.65012arXiv1610.07047OpenAlexW2544214212WikidataQ47555841 ScholiaQ47555841MaRDI QIDQ1692306

Gunther Leobacher, Michaela Szölgyenyi

Publication date: 26 January 2018

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.07047

zbMATH Keywords

stochastic differential equationsdegenerate diffusiondiscontinuous driftEuler-Maruyama methodstrong convergence rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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