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Advances in Continuous and Discrete Models

Theory and Modern Applications

Table 3 Empirical 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

\(e^{\mathrm{inc}}(n)\)

elementary_minus34

0.32

0.30

0.32

0.32

0.28

0.29

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