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03/10/2023
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
In this note we prove sharp lower error bounds for numerical methods for...
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12/17/2022
Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift
Numerical methods for SDEs with irregular coefficients are intensively s...
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12/01/2022
Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
We investigate the error of the randomized Milstein algorithm for solvin...
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11/16/2022
A higher order approximation method for jump-diffusion SDEs with discontinuous drift coefficient
We present the first higher-order approximation scheme for solutions of ...
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04/23/2021
Stochastic differential equations with irregular coefficients: mind the gap!
Numerical methods for stochastic differential equations with non-globall...
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12/09/2019