11 citations · 25 across the 16 of their papers we have counts for
3 papers · 1 filter
On the randomized Euler algorithm under inexact information
Marcin Baranek, Andrzej Kałuża, Paweł M. Morkisz +2
This paper focuses on analyzing the error of the randomized Euler algorithm when only noisy information about the coefficients of the underlying stochastic differential equation (S…
On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
Paweł Przybyłowicz, Yue Wu, Xinheng Xie
We investigate existence, uniqueness and approximation of solutions to stochastic delay differential equations (SDDEs) under Carathéodory-type drift coefficients. Moreover, we also…
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
Paweł Przybyłowicz, Verena Schwarz, Michaela Szölgyenyi
In this note we prove sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift. We study the approximatio…