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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 6 Largest and smallest Euler errors

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

max

0.045

1.331

2.614

3.087

4.508

0.335

min

0.0002

0.179

0.331

0.383

0.696

0.059

elementary4minus3

max

1.223

0.934

0.968

0.981

1.013

1.271

min

0.005

0.005

0.005

0.005

0.005

0.005

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