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Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
We prove strong convergence of order [Formula: see text] for arbitrarily small [Formula: see text] of the Euler–Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuous drift and degenerate diffusion coefficient. The proof is based on estimating the difference...
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| Publicado no: | Numer Math (Heidelb) |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2017
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5762869/ https://ncbi.nlm.nih.gov/pubmed/29375161 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s00211-017-0903-9 |
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