Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations
Preprint, 2019
Hölder continuous drift
strong convergence
discontinuous drift
backward Euler-Maruyama method
multi-valued stochastic differential equation
stochastic gradient flow
Author
Monika Eisenmann
Technische Universität Berlin
Mihaly Kovacs
Pázmány Péter Catholic University
Raphael Kruse
Technische Universität Berlin
Stig Larsson
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Subject Categories
Computational Mathematics
Probability Theory and Statistics
Mathematical Analysis
Roots
Basic sciences