most citedAn adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis

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math.NA2018★ 44 cited

An adaptive Euler-Maruyama scheme for stochastic differential equations with discontinuous drift and its convergence analysis

Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch

We study the strong approximation of stochastic differential equations with discontinuous drift coefficients and (possibly) degenerate diffusion coefficients. To account for the di…