%0 Journal Article
%T A Numerical Method for SDEs with Discontinuous Drift
%A Gunther Leobacher
%A Michaela Sz£¿lgyenyi
%J Mathematics
%D 2015
%I arXiv
%R 10.1007/s10543-015-0549-x
%X 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.
%U http://arxiv.org/abs/1503.08005v1