An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
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Author / Producer
Date
2019
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Book title
Journal / series
Volume
57 (1)
Pages / Article No.
378 - 403
Publisher
SIAM
Event
Edition / version
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Software
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Date collected
Date created
Subject
Stochastic differential equations; Discontinuous drift; Degenerate diffusion; Strong convergence order; Adaptive Euler-Maruyama scheme
Organisational unit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
09557 - Cheridito, Patrick / Cheridito, Patrick
Notes
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