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math.NA2021★ 2 cited
Stochastic differential equations with irregular coefficients:~mind the gap!
Michaela Szölgyenyi
Numerical methods for stochastic differential equations with non-globally Lipschitz coefficients are currently studied intensively. This article gives an overview of our work for t…
math.NA2019
Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
Paweł Przybyłowicz, Michaela Szölgyenyi
In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs app…