Stefan Ankirchner, Thomas Kruse, Mikhail Urusov, “Numerical approximation of irregular SDEs via Skorokhod embeddings”, J. Math. Anal. Appl., 2016, Volume 440, Issue 2,Pages <nobr>692–715</nobr>

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J. Math. Anal. Appl., 2016, Volume 440, Issue 2, Pages 692–715 (Mi jmaa1)

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Numerical approximation of irregular SDEs via Skorokhod embeddings

Stefan Ankirchner^a, Thomas Kruse^b, Mikhail Urusov^bc

^a Institute for Mathematics, University of Jena, Ernst-Abbe-Platz 2, 07745 Jena, Germany
^b Faculty of Mathematics, University of Duisburg-Essen, Thea-Leymann-Str. 9, 45127 Essen, Germany
^c Steklov Mathematical Institute, Russian Academy of Sciences, ul. Gubkina 8, 119991 Moscow, Russia

Received: 26.09.2015

Language: English

DOI: 10.1016/j.jmaa.2016.03.055

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