4 papers · 1 filter
The local coupling of noise technique and its application to lower error bounds for strong approximation of SDEs with irregular coefficients
Simon Ellinger
In recent years, interest in approximation methods for stochastic differential equations (SDEs) with non-Lipschitz continuous coefficients has increased. We show lower bounds for t…
Regularity properties of densities of SDEs using the Fourier analytic approach
Simon Ellinger
We show regularity properties of local densities of solutions of stochastic differential equations (SDEs) with the Fourier analytic approach. With this simple method, statements th…
Sharp lower error bounds for strong approximation of SDEs with a drift coefficient of Hölder or Sobolev regularity using a Weierstraß 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 shown…
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…