We study the strong approximation of stochastic differential equations with discontinuous
drift coefficients and (possibly) degenerate diffusion coefficients. To account for the …

In this paper we introduce a transformation technique, which can on the one hand be used
to prove existence and uniqueness for a class of SDEs with discontinuous drift coefficient. …

We prove strong convergence of order $$1/4-\epsilon $$ 1 / 4 - ϵ for arbitrarily small $$\epsilon
>0$$ ϵ > 0 of the Euler–Maruyama method for multidimensional stochastic differential …

In insurance mathematics, optimal control problems over an infinite time horizon arise when
computing risk measures. An example of such a risk measure is the expected discounted …

In this paper, we consider an energy storage optimization problem in finite time in a model
with partial information that allows for a changing economic environment. The state process …

We study the optimal liquidation problem in a market model where the bid price follows a
geometric pure jump process whose local characteristics are driven by an unobservable finite-…

In this paper, we consider multidimensional stochastic differential equations (SDEs) with
discontinuous drift and possibly degenerate diffusion coefficient. We prove an existence and …

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 …

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

The classical result by Itô on the existence of strong solutions of stochastic differential
equations (SDEs) with Lipschitz coefficients can be extended to the case where the drift is only …