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A convergence result for the Euler-Maruyama method for a simple stochastic differential equation with discontinuous drift

Maria Simonsen, Henrik Schiøler, John Leth, Horia D. Cornean. A convergence result for the Euler-Maruyama method for a simple stochastic differential equation with discontinuous drift. In American Control Conference, ACC 2014, Portland, OR, USA, June 4-6, 2014. pages 5180-5185, IEEE, 2014. [doi]

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