For a function g (h), we write g (h)= O (hp) to mean that there exist constants h0> 0 and K> 0
(independent of h) such that| g (h)|< Khp for all| h|< h0. In words, this means that g (h) tends …

Recently a lot of effort has been invested to analyze the L_p-error of the Euler–Maruyama
scheme in the case of stochastic differential equations (SDEs) with a drift coefficient that may …

The strong rate of convergence of the Euler-Maruyama scheme for nondegenerate SDEs
with irregular drift coefficients is considered. In the case of α-Hölder drift in the recent …

In the past decade, an intensive study of strong approximation of stochastic differential
equations (SDEs) with a drift coefficient that has discontinuities in space has begun. In the …

We study the strong convergence order of the Euler–Maruyama (EM) scheme for scalar
stochastic differential equations with additive noise and irregular drift. We provide a general …

In this paper we study strong approximation of the solution of a scalar stochastic differential
equation (SDE) at the final time in the case when the drift coefficient may have …

In this paper, we study numerical approximations for stochastic differential equations (SDEs)
that use adaptive step sizes. In particular, we consider a general setting where decisions to …

We present the first higher-order approximation scheme for solutions of jump-diffusion
stochastic differential equations with discontinuous drift. For this transformation-based jump …

We are interested in the Euler--Maruyama discretization of a stochastic differential equation
in dimension d with constant diffusion coefficient and bounded measurable drift coefficient …

We solve constrained optimal transport problems in which the marginal laws are given by
the laws of solutions of stochastic differential equations (SDEs). We consider SDEs with …