Conference abstracts

Session A7 - Stochastic Computation

July 10, 18:00 ~ 18:25

Lower Error Bounds for Strong Approximation of Scalar SDEs with Non-Lipschitzian Coefficients

Thomas Mueller-Gronbach

University of Passau, Germany   -

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).

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FoCM 2017, based on a nodethirtythree design.