Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient
From MaRDI portal
Publication:6154556
DOI10.1016/j.jco.2023.101822arXiv2303.05346OpenAlexW4390510689MaRDI QIDQ6154556
Publication date: 15 February 2024
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2303.05346
stochastic differential equationsstrong approximationlower error boundsdiscontinuous drift coefficient
Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)
Cites Work
- Unnamed Item
- Unnamed Item
- A numerical method for SDEs with discontinuous drift
- Absolute continuity for some one-dimensional processes
- A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift
- Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
- An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
- The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
- On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
- On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
- A representation formula for transition probability densities of diffusions and applications
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- An Adaptive Euler--Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis
- OUP accepted manuscript
- A strong order 3/4 method for SDEs with discontinuous drift coefficient
- The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
- Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise
