Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. - Gunther Leobacher; Michaela Szölgyenyi (Numerische Mathematik, 2018)

An Adaptive Euler-Maruyama Scheme for Stochastic Differential Equations with Discontinuous Drift and its Convergence Analysis. - Andreas Neuenkirch; Michaela Szölgyenyi; Lukasz Szpruch (SIAM J. Numer. Anal., 2019)

Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift. - Pawel Przybylowicz; Michaela Szölgyenyi (Appl. Math. Comput., 2021)

Stochastic differential equations with irregular coefficients: mind the gap! - Michaela Szölgyenyi (CoRR, 2021)

A higher order approximation method for jump-diffusion SDEs with discontinuous drift coefficient. - Pawel Przybylowicz; Verena Schwarz; Michaela Szölgyenyi (CoRR, 2022)

Convergence of the tamed-Euler-Maruyama method for SDEs with discontinuous and polynomially growing drift. - Kathrin Spendier; Michaela Szölgyenyi (CoRR, 2022)

Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift. - Pawel Przybylowicz; Verena Schwarz; Michaela Szölgyenyi (CoRR, 2023)

Information-based complexity young researcher award. - Alexey A. Khartov; David Krieg 001; Erich Novak; Michaela Szölgyenyi; Henryk Wozniakowski (J. Complex., 2023)

Bicausal optimal transport for SDEs with irregular coefficients. - Benjamin A. Robinson; Michaela Szölgyenyi (CoRR, 2024)

Kateryna Pozharska is the winner of the 2023 Joseph F. Traub Information-Based Complexity Young Researcher Award. - David Krieg 001; Erich Novak; Mathias Sonnleitner; Michaela Szölgyenyi; Henryk Wozniakowski (J. Complex., 2024)

Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs. - Pawel Przybylowicz; Verena Schwarz; Michaela Szölgyenyi (J. Comput. Appl. Math., 2024)

Matthieu Dolbeault is the winner of the 2024 Joseph F. Traub Information-Based Complexity Young Researcher Award. - Erich Novak; Kateryna Pozharska; Mathias Sonnleitner; Michaela Szölgyenyi; Henryk Wozniakowski (J. Complex., 2025)