A Numerical Method for SDEs with Discontinuous Drift
Probability
2016-08-03 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1503.08005,
title = {A Numerical Method for SDEs with Discontinuous Drift},
author = {Gunther Leobacher and Michaela Szölgyenyi},
journal= {arXiv preprint arXiv:1503.08005},
year = {2016}
}