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Showing 1 to 1 of 1 for “"Non-Lipschitz drift coefficient"”.
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On optimal error rates for strong approximation of stochastic differential equations with irregular drift coefficients
… differential equations (SDEs) with irregular drift coefficients at the final time point or globally in time by methods that use only finitely many evaluations of the driving Brownian motion. We show the optimality of well-known methods, such as the Euler-Maruyama scheme or a transformed …