The Performance of the Euler Scheme for SDEs with Discontinuous Drift

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• Tim Johnston (University of Edinburgh)
• Monday 15 July 2024, 15:00-15:30
• External.

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DMLW01 - International workshop on diffusions in machine learning: foundations, generative models, and optimisation

In recent years there has been a flurry of research addressing the performance of the Euler scheme for SDEs with non-standard coefficients. In this talk we focus on SDEs with discontinuous drift, where a multitude of results have been obtained under very weak conditions. In particular, we show how recent work has connected this line of research with the study of stochastic algorithms (on an unbounded time domain).

This talk is part of the Isaac Newton Institute Seminar Series series.

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