<div class="csl-bib-body">
<div class="csl-entry">Dareiotis, K., Gerencsér, M., & Lê, K. (2023). Quantifying a convergence theorem of Gyöngy and Krylov. <i>Annals of Applied Probability</i>, <i>33</i>(3), 2291–2323. https://doi.org/10.1214/22-AAP1867</div>
</div>
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dc.identifier.issn
1050-5164
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/177453
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dc.description.abstract
We derive sharp strong convergence rates for the Euler–Maruyama scheme approximating multidimensional SDEs with multiplicative noise without imposing any regularity condition on the drift coefficient. In case the noise is additive, we show that Sobolev regularity can be leveraged to obtain improved rate: drifts with regularity of order α ∈ (0, 1) lead to rate (1+α)/2.
en
dc.language.iso
en
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dc.publisher
INST MATHEMATICAL STATISTICS-IMS
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dc.relation.ispartof
Annals of Applied Probability
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dc.subject
Euler–Maruyama scheme
en
dc.subject
regularisation by noise
en
dc.subject
stochastic differential equations
en
dc.subject
rate of convergence
en
dc.subject
strong approximation
en
dc.title
Quantifying a convergence theorem of Gyöngy and Krylov
en
dc.type
Article
en
dc.type
Artikel
de
dc.contributor.affiliation
University of Leeds, UK
-
dc.contributor.affiliation
Technische Universität Berlin, Germany
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dc.description.startpage
2291
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dc.description.endpage
2323
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dc.type.category
Original Research Article
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tuw.container.volume
33
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tuw.container.issue
3
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tuw.journal.peerreviewed
true
-
tuw.peerreviewed
true
-
wb.publication.intCoWork
International Co-publication
-
tuw.researchTopic.id
C4
-
tuw.researchTopic.name
Mathematical and Algorithmic Foundations
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tuw.researchTopic.value
100
-
dcterms.isPartOf.title
Annals of Applied Probability
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tuw.publication.orgunit
E101-01 - Forschungsbereich Analysis
-
tuw.publication.orgunit
E101 - Institut für Analysis und Scientific Computing
-
tuw.publisher.doi
10.1214/22-AAP1867
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dc.description.numberOfPages
33
-
wb.sci
true
-
wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.sciencebranch.value
100
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item.languageiso639-1
en
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item.cerifentitytype
Publications
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Publications
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no Fulltext
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item.openairetype
Article
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item.openairetype
Artikel
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http://purl.org/coar/resource_type/c_18cf
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http://purl.org/coar/resource_type/c_18cf
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item.grantfulltext
none
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crisitem.author.dept
University of Leeds, UK
-
crisitem.author.dept
E101-01 - Forschungsbereich Analysis
-
crisitem.author.dept
Technische Universität Berlin, Germany
-
crisitem.author.parentorg
E101 - Institut für Analysis und Scientific Computing
