A numerical method for SDEs with discontinuous drift

作者：Leobacher Gunther; Szoelgyenyi Michaela

来源：BIT Numerical Mathematics, 2016, 56(1): 151-162.

DOI：10.1007/s10543-015-0549-x

• Stochastic differential equations
• Discontinuous drift
• Numerical methods for stochastic differential equations

In this paper we introduce a transformation technique, which can on the one hand be used to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. One the other hand we present a numerical method based on transforming the Euler-Maruyama scheme for such a class of SDEs. We prove convergence of order . Finally, we present numerical examples.

• 出版日期2016-3