Approximation of SDEs: a stochastic sewing approach (Q2067662): Difference between revisions

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+Convergence rate of Euler-Maruyama scheme for SDEs with Hölder-Dini continuous drifts
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+A stochastic sewing lemma and applications
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+Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
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+On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient
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+The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem
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+The Malliavin Calculus and Related Topics
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+Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient
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+Fractional Brownian motion in a nutshell
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+A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
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