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math.NA2019★ 12 cited
Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
Paweł M. Morkisz, Paweł Przybyłowicz
We deal with pointwise approximation of solutions of scalar stochastic differential equations in the presence of informational noise about underlying drift and diffusion coefficien…
math.NA2019
Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
Paweł Przybyłowicz, Michaela Szölgyenyi
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs app…