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math.PR2026
Sharp lower error bounds for strong approximation of SDEs with a drift coefficient of Hölder or Sobolev regularity using a Weierstraà scale
Simon Ellinger, Thomas Müller-Gronbach, Larisa Yaroslavtseva
We study strong approximation of solutions of SDEs with bounded -Hölder continuous drift coefficient and constant diffusion coefficient at time point . Recently, it was sho…
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…