Complexity and effective dimension of discrete Lévy areas

DOI10.1016/j.jco.2006.12.006zbMath1123.65005OpenAlexW2051791541MaRDI QIDQ883328

Klaus Scheicher

Publication date: 4 June 2007

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

Full work available at URL: https://doi.org/10.1016/j.jco.2006.12.006

zbMATH Keywords

computational complexitycomparison of methodsItô integralRunge-Kutta methodEuler methodLévy stochastic arealinear Brownian pathmultidimensional stochastic differential equation

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) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Complexity and performance of numerical algorithms (65Y20)

Related Items (3)

Fast orthogonal transforms and generation of Brownian paths ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Fast QMC Matrix-Vector Multiplication

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