Sharp lower error bounds for strong approximation of SDEs with piecewise Lipschitz continuous drift coefficient

DOI10.1016/j.jco.2023.101822arXiv2303.05346OpenAlexW4390510689MaRDI QIDQ6154556

Simon Ellinger

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

zbMATH Keywords

stochastic differential equationsstrong approximationlower error boundsdiscontinuous drift coefficient

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)

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