Quantifying a convergence theorem of Gyöngy and Krylov-Reference-Cited by-同舟云学术

Quantifying a convergence theorem of Gyöngy and Krylov

Published:2023-06-01 Issue:3 Volume:33 Page:
ISSN:1050-5164
Container-title:The Annals of Applied Probability
language:
Short-container-title:Ann. Appl. Probab.

Author:

Dareiotis Konstantinos¹,Gerencsér Máté²,Lê Khoa³

Affiliation:

1. School of Mathematics, University of Leeds

2. Institute of Analysis and Scientific Computing, TU Wien

3. Institute für Mathematik, TU Berlin

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference42 articles.

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3. LEOBACHER, G. and SZÖLGYENYI, M. (2017). A strong order 1/2 method for multidimensional SDEs with discontinuous drift. Ann. Appl. Probab. 27 2383–2418.

4. LEOBACHER, G. and SZÖLGYENYI, M. (2018). Convergence of the Euler–Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numer. Math. 138 219–239.

5. MÜLLER-GRONBACH, T. and YAROSLAVTSEVA, L. (2020). On the performance of the Euler–Maruyama scheme for SDEs with discontinuous drift coefficient. Ann. Inst. Henri Poincaré Probab. Stat. 56 1162–1178.

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