Numerical methods for SDEs with drift discontinuous on a set of positive reach

zbMATH Open1542.60043MaRDI QIDQ6587769FDOQ6587769

Authors: Gunther Leobacher, Michaela Szölgyenyi 

Publication date: 14 August 2024

Published in: Internationale Mathematische Nachrichten (Search for Journal in Brave)

Recommendations

• A numerical method for SDEs with discontinuous drift
• A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
• An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
• Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
• Stochastic differential equations with irregular coefficients: mind the gap!

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

This page was built for publication: Numerical methods for SDEs with drift discontinuous on a set of positive reach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6587769)