@inproceedings{dde17f0828c8481e8338dac444b8cb52,
title = "A Simple Stochastic Differential Equation with Discontinuous Drift",
abstract = "In this paper we study solutions to stochastic differential equations (SDEs) with discontinuous drift. We apply two approaches: The Euler-Maruyama method and the Fokker-Planck equation and show that a candidate density function based on the Euler-Maruyama method approximates a candidate density function based on the stationary Fokker-Planck equation. Furthermore, we introduce a smooth function which approximates the discontinuous drift and apply the Euler-Maruyama method and the Fokker-Planck equation with this input. The point of departure for this work is a particular SDE with discontinuous drift.",
keywords = "Stochastic Differential Equations, Euler-Maruyama , Fokker-Planck Equation",
author = "Maria Simonsen and John-Josef Leth and Henrik Schi{\o}ler and Horia Cornean",
year = "2013",
month = aug,
day = "22",
doi = "10.4204/EPTCS.124.11",
language = "English",
series = "Electronic Proceedings in Theoretical Computer Science",
publisher = "Open Publishing Association",
pages = "109--123",
booktitle = "Proceedings Third International Workshop on Hybrid Autonomous Systems, Rome 17th March 2013",
note = "Proceedings Third International Workshop on Hybrid Autonomous Systems ; Conference date: 17-03-2013",
}