Derandomization of the Euler scheme for scalar stochastic differential equations

DOI10.1016/J.JCO.2011.12.001zbMath1247.65007OpenAlexW1970469531MaRDI QIDQ413464

Klaus Ritter, Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 7 May 2012

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2011.12.001

zbMATH Keywords

algorithmstochastic differential equationserror boundquadratureworst case analysisconstructive quantizationderandomization of Euler schemesparse Markov chain

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (5)

Constructive quantization: approximation by empirical measures ⋮ A local refinement strategy for constructive quantization of scalar SDEs ⋮ On the complexity of computing quadrature formulas for marginal distributions of SDEs ⋮ Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

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