Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
http://www.tandfonline.com/doi/pdf/10.1080/00207160.2013.844336
Reference21 articles.
1. Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
2. Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
3. A note on the Euler–Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
4. Optimal approximation of stochastic differential equations by adaptive step-size control
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