3 papers
math.NA2026
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…
math.PR2024
On optimal error rates for strong approximation of SDEs with a drift coefficient of fractional Sobolev regularity
Simon Ellinger, Thomas Müller-Gronbach, Larisa Yaroslavtseva
We study strong approximation of scalar additive noise driven stochastic differential equations (SDEs) at time point in the case that the drift coefficient is bounded and has S…
math.PR2024
On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
T. Müller-Gronbach, L. Yaroslavtseva
We survey recent developments in the field of complexity of pathwise approximation in -th mean of the solution of a stochastic differential equation at the final time based on f…