Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients (Q670738)

scientific article

Language	Label	Description	Also known as
English	Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

author

Mario Hefter

0 references

André Herzwurm

0 references

Thomas Müller-Gronbach

0 references

published in

The Annals of Applied Probability

0 references

publication date

20 March 2019

0 references

full work available at URL

https://arxiv.org/abs/1710.08707

0 references

https://projecteuclid.org/euclid.aoap/1544000428

0 references

zbMATH Keywords

stochastic differential equations

0 references

nonglobally Lipschitz continuous coefficients

0 references

strong (pathwise) approximation

0 references

lower error bounds

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

0 references

The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities

0 references

Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

0 references

Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

0 references

Adaptive stepsize based on control theory for stochastic differential equations

0 references

Adaptive approximation of the minimum of Brownian motion

0 references

Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design

0 references

An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

0 references

Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

0 references

On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions

0 references

A survey and some generalizations of Bessel processes

0 references

The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate

0 references

Loss of regularity for Kolmogorov equations

0 references

Optimal strong approximation of the one-dimensional squared Bessel process

0 references

Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range

0 references

On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes

0 references

On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations

0 references

A modified Milstein scheme for approximation of stochastic delay differential equations with constant time lag

0 references

Optimal approximation of stochastic differential equations by adaptive step-size control

0 references

Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.

0 references

The optimal discretization of stochastic differential equations

0 references

Linear vs standard information for scalar stochastic differential equations

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations

0 references

On stochastic differential equations with arbitrary slow convergence rates for strong approximation

0 references

On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

0 references

A numerical method for SDEs with discontinuous drift

0 references

Lectures on Gaussian Processes

0 references

Step size control in the numerical solution of stochastic differential equations

0 references

Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations

0 references

The optimal uniform approximation of systems of stochastic differential equations

0 references

Optimal pointwise approximation of SDEs based on Brownian motion at discrete points

0 references

A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives

0 references

Optimal approximation of SDE's with additive fractional noise

0 references

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion

0 references

The maximum rate of convergence for the approximation of the fractional Lévy area at a single point

0 references

Stochastic Integrals and Conditional Full Support

0 references

Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients

0 references

Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting

0 references

Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients

0 references

Numerical Treatment of Stochastic Differential Equations

0 references

Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

0 references

The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Stochastic differential equations and Nilpotent Lie algebras

0 references

On non-polynomial lower error bounds for adaptive strong approximation of SDEs

0 references

A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

0 references

Identifiers

DOI

10.1214/18-AAP1411

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:670738