A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
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Publication:1664478
DOI10.1016/j.jmaa.2018.07.041OpenAlexW2962755093WikidataQ129440059 ScholiaQ129440059MaRDI QIDQ1664478
Larisa Yaroslavtseva, Thomas Müller-Gronbach
Publication date: 27 August 2018
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.08818
stochastic differential equationsadaptive methodsstrong approximationlower error boundscoefficients of polynomial growthsubpolynomial error rate
Probability theory and stochastic processes (60-XX) Probabilistic methods, stochastic differential equations (65Cxx)
Related Items (5)
An adaptive strong order 1 method for SDEs with discontinuous drift coefficient ⋮ On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
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