2 papers
math.PR2020
A Note on Some Martingale Inequalities
Jan Pleis, Andreas Rößler
We derive inequalities for time-discrete and time-continuous martingales that are similar to the well-known Burkholder inequalities. For the time-discrete case arbitrary martingale…
math.NA2020
High order numerical integrators for single integrand Stratonovich SDEs
David Cohen, Kristian Debrabant, Andreas Rößler
We show that applying any deterministic B-series method of order with a random step size to single integrand SDEs gives a numerical method converging in the mean-square and w…