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

Gunther LeobacherMichaela Szölgyenyi
Published in: Numerische Mathematik (2018)
Keyphrases
  • pairwise
  • diffusion coefficient
  • multiresolution
  • sufficient conditions
  • segmentation method
  • higher order