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

In recent years, a number of results has been proven in the literature for strong
approximation of stochastic differential equations (SDEs) with a drift coefficient that may …

In this paper we deal with pointwise approximation of solutions of stochastic differential
equations (SDEs) driven by an infinite dimensional Wiener process, with additional jumps …

We investigate the error of the randomized Milstein algorithm for solving scalar jump–
diffusion stochastic differential equations. We provide a complete error analysis under …

This paper deals with numerical analysis of solutions to stochastic differential equations with
jumps (SDEJs) with measurable drifts that may have quadratic growth. The main tool used is …

We survey recent developments in the field of complexity of pathwise approximation in p-th
mean of the solution of a stochastic differential equation at the final time based on finitely …

We study pathwise approximation of strong solutions of scalar stochastic differential
equations (SDEs) at a single time in the presence of discontinuities of the drift coefficient …

Numerical methods for SDEs with irregular coefficients are intensively studied in the
literature, with different types of irregularities usually being attacked separately. In this paper …

In this paper sharp lower error bounds for numerical methods for jump-diffusion stochastic
differential equations (SDEs) with discontinuous drift are proven. The approximation of jump …