Linear vs standard information for scalar stochastic differential equations

DOI10.1006/JCOM.2001.0627zbMath1008.65005OpenAlexW2020552778MaRDI QIDQ700169

Klaus Ritter, Norbert Hofmann, Thomas Müller-Gronbach

Publication date: 30 September 2002

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

Full work available at URL: https://doi.org/10.1006/jcom.2001.0627

zbMATH Keywords

stochastic differential equationserror boundsItô-Taylor series methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ A local refinement strategy for constructive quantization of scalar SDEs ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ On irregular functionals of SDEs and the Euler scheme ⋮ Optimal approximation of SDE's with additive fractional noise ⋮ Linear information for approximation of the Itô integrals

Cites Work

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• On the average complexity of multivariate problems
• On adaptive information with varying cardinality for linear problems with elliptically contoured measures
• Average-case analysis of numerical problems
• Approximation of linear operators on a Wiener space
• Approximate Integration of Stochastic Differential Equations
• The optimal discretization of stochastic differential equations

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