On the complexity of stochastic integration

DOI10.1090/S0025-5718-00-01214-XzbMath0970.60060OpenAlexW1996171685MaRDI QIDQ2701558

Henryk Woźniakowski, Grzegorz W. Wasilkowski

Publication date: 19 February 2001

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-00-01214-x

zbMATH Keywords

complexityoptimal algorithmapproximation of Itô integral

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05)

Related Items (12)

Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions ⋮ Complexity of stochastic integration in Sobolev classes ⋮ Complexity of Banach space valued and parametric stochastic Itô integration ⋮ On the optimal approximation rate of certain stochastic integrals ⋮ Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ Optimal approximation of Skorohod integrals ⋮ Optimal approximation of stochastic integrals in analytic noise model ⋮ The optimal discretization of stochastic differential equations ⋮ Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions ⋮ Nonlinear Lebesgue and Itô integration problems of high complexity ⋮ Linear information for approximation of the Itô integrals ⋮ Rate of convergence for discretization of integrals with respect to fractional Brownian motion

Cites Work

• Mixed settings for linear problems
• Information of varying cardinality
• Approximation of linear operators on a Wiener space
• Stochastic differential equations. An introduction with applications.
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