Free-knot spline approximation of stochastic processes

DOI10.1016/J.JCO.2007.05.003zbMath1134.65010arXivmath/0612313OpenAlexW2037760662MaRDI QIDQ2465309

Jakob Creutzig, Thomas Müller-Gronbach, Klaus Ritter

Publication date: 9 January 2008

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

Full work available at URL: https://arxiv.org/abs/math/0612313

zbMATH Keywords

Diffusion processStochastic differential equationFree knotsIntegrated Wiener processOptimal spline approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (13)

Parameter Estimation in Stochastic Differential Equations ⋮ A generative model for fBm with deep ReLU neural networks ⋮ Sequential Construction and Dimension Reduction of Gaussian Processes Under Inequality Constraints ⋮ The optimal free knot spline approximation of stochastic differential equations with additive noise ⋮ Spline approximation of a random process with singularity ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ On Linear Versus Nonlinear Approximation in the Average Case Setting ⋮ A Milstein-based free knot spline approximation for stochastic differential equations ⋮ Adaptive wavelet methods for the stochastic Poisson equation ⋮ On the construction of stochastic fields with prescribed regularity by wavelet expansions ⋮ Energy of taut strings accompanying Wiener process

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