The optimal discretization of stochastic differential equations (Q5938583)
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scientific article; zbMATH DE number 1623067
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal discretization of stochastic differential equations |
scientific article; zbMATH DE number 1623067 |
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The optimal discretization of stochastic differential equations (English)
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23 July 2001
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The paper studies discrete time pathwise approximations of stochastic differential equations. An adaptive discretization is introduced that reflects local properties of the simulated trajectory. The corresponding error is shown to converge to zero in average with a certain rate. The method allows the determination of the complexity of pathwise approximations.
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stochastic differential equation
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strong approximation
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adaptive scheme
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