Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients

DOI10.1214/18-AAP1411MaRDI QIDQ670738

André Herzwurm, Mario Hefter, Thomas Müller-Gronbach

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.08707

zbMATH Keywords

stochastic differential equationslower error boundsnonglobally Lipschitz continuous coefficientsstrong (pathwise) approximation

Mathematics Subject Classification ID

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

Related Items (9)

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 ⋮ An adaptive splitting method for the Cox-Ingersoll-Ross process ⋮ Sharp lower error bounds for strong approximation of SDEs with discontinuous drift coefficient by coupling of noise ⋮ Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ On the strong convergence rate for the Euler-Maruyama scheme of one-dimensional SDEs with irregular diffusion coefficient and local time

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