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20232025
most citedSharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient

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math.PR2023★ 3 cited

Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient

Simon Ellinger

We study pathwise approximation of strong solutions of scalar stochastic differential equations (SDEs) at a single time in the presence of discontinuities of the drift coefficient.…