"An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations ..."

Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch (2019)

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DOI: 10.1137/18M1170017

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type: Journal Article

metadata version: 2025-01-19

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Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch:
An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numer. Anal. 57(1): 378-403 (2019)

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