443 citations · 2.4k across the 59 of their papers we have counts for
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Strong convergence rates on the whole probability space for space-time discrete numerical approximation schemes for stochastic Burgers equations
Martin Hutzenthaler, Arnulf Jentzen, Felix Lindner +1
The main result of this article establishes strong convergence rates on the whole probability space for explicit space-time discrete numerical approximations for a class of stochas…
On existence and uniqueness properties for solutions of stochastic fixed point equations
Christian Beck, Lukas Gonon, Martin Hutzenthaler +1
The Feynman-Kac formula implies that every suitable classical solution of a semilinear Kolmogorov partial differential equation (PDE) is also a solution of a certain stochastic fix…
On moments and strong local Hölder regularity of solutions of stochastic differential equations and of their spatial derivative processes
Anselm Hudde, Martin Hutzenthaler, Sara Mazzonetto
Spatial differentiability of solutions of stochastic differential equations (SDEs) is a classical question in stochastic analysis. The case of coefficients with globally Lipschitz…
A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations
Anselm Hudde, Martin Hutzenthaler, Sara Mazzonetto
There are numerous applications of the classical (deterministic) Gronwall inequality. Recently, Michael Scheutzow discovered a stochastic Gronwall inequality which provides upper b…