30 citations · 49 across the 7 of their papers we have counts for
5 papers · 1 filter
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…
On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
Thomas Müller-Gronbach, Larisa Yaroslavtseva
Recently a lot of effort has been invested to analyze the -error of the Euler-Maruyama scheme in the case of stochastic differential equations (SDEs) with a drift coefficient…
Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients
Mario Hefter, André Herzwurm, Thomas Müller-Gronbach
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observati…
On hard quadrature problems for marginal distributions of SDEs with bounded smooth coefficients
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In recent work of Hairer, Hutzenthaler and Jentzen, see [9], a stochastic differential equation (SDE) with infinitely often differentiable and bounded coefficients was constructed…
On stochastic differential equations with arbitrary slow convergence rates for strong approximation
Arnulf Jentzen, Thomas Müller-Gronbach, Larisa Yaroslavtseva
In the recent article [Hairer, M., Hutzenthaler, M., Jentzen, A., Loss of regularity for Kolmogorov equations, Ann. Probab. 43 (2015), no. 2, 468--527] it has been shown that there…