On the strong regularity of degenerate additive noise driven stochastic differential equations with respect to their initial values

DOI10.1016/j.jmaa.2021.125240zbMath1471.34116arXiv1904.05963OpenAlexW3156017642WikidataQ115345877 ScholiaQ115345877MaRDI QIDQ2033122

Arnulf Jentzen, Larisa Yaroslavtseva, Thomas Müller-Gronbach, Benno Kuckuck

Publication date: 14 June 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.05963

zbMATH Keywords

stochastic differential equationsnumerical approximationsinitial valueSDEregularity analysis

Mathematics Subject Classification ID

Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Ordinary differential equations and systems with randomness (34F05) Numerical problems in dynamical systems (65P99)

Related Items (2)

An efficient Monte Carlo scheme for Zakai equations ⋮ Counterexamples to local Lipschitz and local Hölder continuity with respect to the initial values for additive noise driven stochastic differential equations with smooth drift coefficient functions with at most polynomially growing derivatives

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