34 citations · 40 across the 5 of their papers we have counts for
6 papers
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…
Existence, uniqueness and approximation of solutions of SDEs with superlinear coefficients in the presence of discontinuities of the drift coefficient
Thomas Müller-Gronbach, Sotirios Sabanis, Larisa Yaroslavtseva
Existence, uniqueness, and -approximation results are presented for scalar stochastic differential equations (SDEs) by considering the case where, the drift coefficient has fi…
Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In the past decade, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that has discontinuities in space has begun. In…
A strong order method for SDEs with discontinuous drift coefficient
Thomas Müller-Gronbach, Larisa Yaroslavtseva
In this paper we study strong approximation of the solution of a scalar stochastic differential equation (SDE) at the final time in the case when the drift coefficient may have dis…
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
Thomas Müller-Gronbach, Larisa Yaroslavtseva
Recently, it has been shown in [Jentzen, A., Müller-Gronbach, T., and Yaroslavtseva, L., Commun. Math. Sci., 14, 2016] that there exists a system of autonomous stochastic different…
Optimal pointwise approximation of SDEs based on brownian motion at discrete points
Thomas Muller-Gronbach
We study pathwise approximation of scalar stochastic differential equations at a single point. We provide the exact rate of convergence of the minimal errors that can be achieved b…