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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 5 Numerical Platen convergence rates, based on step sizes \(2^{-\tilde{n}}, \tilde{n} \in \{4,\ldots ,10\}\)

From: The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

Initial values

0

1

1.2

1.25

1.4

2

elementary_minus34

1.22

0.40

0.40

0.40

0.42

0.43

elementary4minus3

0.79

0.79

0.79

0.79

0.79

0.79

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