An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
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DOI: 10.1016/j.jmaa.2022.126180
Abstract: In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. In many of these results it is assumed that… read more here.
Keywords: coefficient; drift coefficient; method; evaluations driving ... See more keywords