Session A7 - Stochastic Computation
July 10, 18:00 ~ 18:25
Lower Error Bounds for Strong Approximation of Scalar SDEs with Non-Lipschitzian Coefficients
University of Passau, Germany - firstname.lastname@example.org
We study the problem of pathwise approximation of the solution of a scalar SDE, either at the final time or globally in time, based on $n$ sequential evaluations of the driving Brownian motion on average. We present lower error bounds in terms of $n$ under mild local smoothness assumptions on the coefficients of the SDE. This includes SDEs with superlinearly growing or piecewise Lipschitz continuous coefficients and also certain types of CIR-processes.
Joint work with Mario Hefter (Technical University of Kaiserslautern, Germany) and Andre Herzwurm (Technical University of Kaiserslautern, Germany).