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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. 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]

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