Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm (Q2437367): Difference between revisions

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English	Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm	scientific article

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scholarly article

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title

Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm (English)

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Applied Numerical Mathematics

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publication date

3 March 2014

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zbMATH Keywords

stochastic Carathéodory differential equations

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Euler algorithm

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Euler-integral algorithm

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Monte Carlo methods

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optimal algorithm

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error estimate

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.apnum.2013.12.003

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cites work

Q3963806

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Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

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Higher order numerical schemes for affinely controlled nonlinear systems

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Higher order numerical approximation of switching systems

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A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient

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The randomized complexity of initial value problems

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A random Euler scheme for Carathéodory differential equations

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How to increase the order to get minimal-error algorithms for systems of ODE

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Almost optimal solution of initial-value problems by randomized and quantum algorithms

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Optimal adaptive solution of initial-value problems with unknown singularities

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Q4002114

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The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations

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Higher-order implicit strong numerical schemes for stochastic differential equations

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Runge-Kutta methods for affinely controlled nonlinear systems

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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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Introduction to stochastic integration.

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Q4826106

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Deterministic and stochastic error bounds in numerical analysis

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Adaption allows efficient integration of functions with unknown singularities

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The power of adaptive algorithms for functions with singularities

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Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions

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Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients

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Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients

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Numerical methods for systems with measurable coefficients

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Error analysis of a randomized numerical method

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Q4040428

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The quantum setting with randomized queries for continuous problems

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The Euler scheme with irregular coefficients

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Identifiers

zbMATH Open document ID

1284.65012

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Mathematics Subject Classification ID

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10.1016/J.APNUM.2013.12.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:2437367

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+Q3963806
@@ Property / cites work: Q3963806 / rank @@
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@@ Property / cites work @@
+Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
+Normal rank
@@ Property / cites work @@
+Higher order numerical schemes for affinely controlled nonlinear systems
+Normal rank
@@ Property / cites work @@
+Higher order numerical approximation of switching systems
+Normal rank
@@ Property / cites work @@
+A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
+Normal rank
@@ Property / cites work @@
+The randomized complexity of initial value problems
+Normal rank
@@ Property / cites work @@
+A random Euler scheme for Carathéodory differential equations
+Normal rank
@@ Property / cites work @@
+How to increase the order to get minimal-error algorithms for systems of ODE
+Normal rank
@@ Property / cites work @@
+Almost optimal solution of initial-value problems by randomized and quantum algorithms
+Normal rank
@@ Property / cites work @@
+Optimal adaptive solution of initial-value problems with unknown singularities
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Higher-order implicit strong numerical schemes for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for affinely controlled nonlinear systems
+Normal rank
@@ Property / cites work @@
+Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
+Normal rank
@@ Property / cites work @@
+Introduction to stochastic integration.
@@ Property / cites work: Introduction to stochastic integration. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4826106
@@ Property / cites work: Q4826106 / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic and stochastic error bounds in numerical analysis
+Normal rank
@@ Property / cites work @@
+Adaption allows efficient integration of functions with unknown singularities
+Normal rank
@@ Property / cites work @@
+The power of adaptive algorithms for functions with singularities
+Normal rank
@@ Property / cites work @@
+Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions
+Normal rank
@@ Property / cites work @@
+Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
+Normal rank
@@ Property / cites work @@
+Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
+Normal rank
@@ Property / cites work @@
+Numerical methods for systems with measurable coefficients
+Normal rank
@@ Property / cites work @@
+Error analysis of a randomized numerical method
@@ Property / cites work: Error analysis of a randomized numerical method / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040428
@@ Property / cites work: Q4040428 / rank @@
+Normal rank
@@ Property / cites work @@
+The quantum setting with randomized queries for continuous problems
+Normal rank
@@ Property / cites work @@
+The Euler scheme with irregular coefficients
@@ Property / cites work: The Euler scheme with irregular coefficients / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.APNUM.2013.12.003
@@ Property / DOI: 10.1016/J.APNUM.2013.12.003 / rank @@
+Normal rank