Optimal pointwise approximation of SDEs based on Brownian motion at discrete points (Q1769404): Difference between revisions

The author considers the issues of where to evaluate the Wiener increments in order to obtain the best possible approximation to the solution of an stochastic differential equation (SDE) and what is the minimal error that can be achieved if at most \(N\) Wiener simulations are made on average. This leads to adaptive schemes that are asymptotically optimal in different settings.