3 citations · 6 across the 4 of their papers we have counts for
5 papers
Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient
Thomas Müller-Gronbach, Sotirios Sabanis, Larisa Yaroslavtseva
Existence, uniqueness, and -approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has fi…
An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
Larisa Yaroslavtseva
In recent years, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that may have discontinuities in space has begun. I…
Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In the past decade, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that has discontinuities in space has begun. In…
A strong order method for SDEs with discontinuous drift coefficient
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In this paper we study strong approximation of the solution of a scalar stochastic differential equation (SDE) at the final time in the case when the drift coefficient may have dis…
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
Thomas Müller-Gronbach, Larisa Yaroslavtseva
Recently, it has been shown in [Jentzen, A., Müller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14, 2016] that there exists a system of autonomous stochastic different…