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Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
Leobacher, Gunther, Szölgyenyi, MichaelaLanguage:
english
Journal:
Numerische Mathematik
DOI:
10.1007/s00211-017-0903-9
Date:
July, 2017
File:
PDF, 567 KB
english, 2017