Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

Gunther Leobacher, Michaela Szölgyenyi

Research output: Contribution to journal › Article › peer-review

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@article{c8b28fa78ca84903834ecffc9fe80b53,

title = "Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient",

author = "Gunther Leobacher and Michaela Sz{\"o}lgyenyi",

year = "2018",

doi = "10.1007/s00211-017-0903-9",

language = "English",

volume = "138",

pages = "219--239",

journal = "Numerische Mathematik",

issn = "0945-3245",

publisher = "Springer Berlin Heidelberg",

number = "1",

}

TY - JOUR

T1 - Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient

AU - Leobacher, Gunther

AU - Szölgyenyi, Michaela

PY - 2018

Y1 - 2018

U2 - 10.1007/s00211-017-0903-9

DO - 10.1007/s00211-017-0903-9

M3 - Article

SN - 0945-3245

VL - 138

SP - 219

EP - 239

JO - Numerische Mathematik

JF - Numerische Mathematik

IS - 1

ER -