Quantifying a convergence theorem of Gyöngy and Krylov

DOI10.1214/22-aap1867zbMath1511.60102arXiv2101.12185WikidataQ123113696 ScholiaQ123113696MaRDI QIDQ6104027

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Publication date: 5 June 2023

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.12185

zbMATH Keywords

rate of convergencestochastic differential equationsstrong approximationEuler-Maruyama schemeregularisation by noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Regularization by noise (60H50)

Related Items (2)

Convergence rate of the Euler-Maruyama scheme applied to diffusion processes with \(L^q - L^{\rho}\) drift coefficient and additive noise ⋮ Stochastic sewing in Banach spaces

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