Andreas Neuenkirch, Michaela Szölgyenyi, Lukasz Szpruch. An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. SIAM J. Numerical Analysis, 57(1):378-403, 2019. [doi]
@article{NeuenkirchSS19,
title = {An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis},
author = {Andreas Neuenkirch and Michaela Szölgyenyi and Lukasz Szpruch},
year = {2019},
doi = {10.1137/18M1170017},
url = {https://doi.org/10.1137/18M1170017},
researchr = {https://researchr.org/publication/NeuenkirchSS19},
cites = {0},
citedby = {0},
journal = {SIAM J. Numerical Analysis},
volume = {57},
number = {1},
pages = {378-403},
}