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An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis.
Andreas Neuenkirch
Michaela Szölgyenyi
Lukasz Szpruch
Published in:
SIAM J. Numer. Anal. (2019)
Keyphrases
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convergence analysis
stochastic differential equations
maximum a posteriori estimation
brownian motion
global convergence
additive gaussian noise
differential equations
support vector
markov random field
convergence rate
optimality conditions