A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
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Publication:2479587
DOI10.1007/s10543-008-0164-1zbMath1136.65008OpenAlexW2061240738MaRDI QIDQ2479587
Nikolaos Halidias, Peter E. Kloeden
Publication date: 4 April 2008
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-008-0164-1
Heaviside functionstochastic differential equationconvergenceadditive noiseEuler-Maruyama schemediscontinuous monotone drift coefficient
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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