Optimal pointwise approximation of SDEs based on Brownian motion at discrete points

DOI10.1214/105051604000000954zbMath1074.65010arXivmath/0503531OpenAlexW3102549046MaRDI QIDQ1769404

Thomas Müller-Gronbach

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503531

zbMATH Keywords

stochastic differential equationminimal errorWiener increments

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Discretization and simulation of stochastic differential equations
• Average-case analysis of numerical problems
• The optimal uniform approximation of systems of stochastic differential equations
• Stochastic differential equations and Nilpotent Lie algebras
• Numerical Treatment of Stochastic Differential Equations
• Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
• An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
• The optimal discretization of stochastic differential equations
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