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Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
Daniel Conus, Arnulf Jentzen, Ryan Kurniawan
Strong convergence rates for (temporal, spatial, and noise) numerical approximations of semilinear stochastic evolution equations (SEEs) with smooth and regular nonlinearities are…
Strong convergence rates and temporal regularity for Cox-Ingersoll-Ross processes and Bessel processes with accessible boundaries
Martin Hutzenthaler, Arnulf Jentzen, Marco Noll
Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes…
On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with non-globally monotone coefficients
Martin Hutzenthaler, Arnulf Jentzen
We develope a perturbation theory for stochastic differential equations (SDEs) by which we mean both stochastic ordinary differential equations (SODEs) and stochastic partial diffe…