30 citations · 46 across the 12 of their papers we have counts for
4 papers · 1 filter
On the performance of the Euler-Maruyama scheme for multidimensional SDEs with discontinuous drift coefficient
Thomas Müller-Gronbach, Christopher Rauhögger, Larisa Yaroslavtseva
We study strong approximation of -dimensional stochastic differential equations (SDEs) with a discontinuous drift coefficient. More precisely, we essentially assume that the dri…
On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
Thomas Müller-Gronbach, Larisa Yaroslavtseva
Recently a lot of effort has been invested to analyze the -error of the Euler-Maruyama scheme in the case of stochastic differential equations (SDEs) with a drift coefficient…
On hard quadrature problems for marginal distributions of SDEs with bounded smooth coefficients
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In recent work of Hairer, Hutzenthaler and Jentzen, see [9], a stochastic differential equation (SDE) with infinitely often differentiable and bounded coefficients was constructed…
On stochastic differential equations with arbitrary slow convergence rates for strong approximation
Arnulf Jentzen, Thomas Müller-Gronbach, Larisa Yaroslavtseva
In the recent article [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43 (2015), no. 2, 468--527] it has been shown that there…