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- W4287996887 abstract "In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in energy markets. We prove existence and uniqueness of strong solutions. In addition we study the strong convergence order of the Euler-Maruyama scheme and recover the optimal rate $1/2$." @default.
- W4287996887 created "2022-07-26" @default.
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- W4287996887 date "2019-12-09" @default.
- W4287996887 modified "2023-10-16" @default.
- W4287996887 title "Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift" @default.
- W4287996887 doi "https://doi.org/10.48550/arxiv.1912.04215" @default.
- W4287996887 hasPublicationYear "2019" @default.
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