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Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients - MaRDI portal

Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients

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Publication:6292952

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DOI10.1214/18-AAP1411arXiv1710.08707MaRDI QIDQ6292952

André Herzwurm, Thomas Müller-Gronbach, Mario Hefter

Publication date: 24 October 2017

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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