An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
Metadata only
Datum
2019Typ
- Journal Article
ETH Bibliographie
yes
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Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
SIAM Journal on Numerical AnalysisBand
Seiten / Artikelnummer
Verlag
SIAMThema
Stochastic differential equations; Discontinuous drift; Degenerate diffusion; Strong convergence order; Adaptive Euler-Maruyama schemeOrganisationseinheit
03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
09557 - Cheridito, Patrick / Cheridito, Patrick
Zugehörige Publikationen und Daten
Is variant form of: http://hdl.handle.net/20.500.11850/297888
ETH Bibliographie
yes
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