Gunther Leobacher, Michaela Szölgyenyi
Published 2015-03-27Version 1
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 $1/2$. Finally, we present numerical examples.
A note on the weak rate of convergence for the Euler-Maruyama scheme with Hölder drift
On the Euler--Maruyama scheme for degenerate stochastic differential equations with non-sticky boundary condition
On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
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