OPTIMAL POINTWISE APPROXIMATION OF INFINITE-DIMENSIONAL ORNSTEIN–UHLENBECK PROCESSES

DOI10.1142/S0219493708002433zbMath1153.60371MaRDI QIDQ3548301

Klaus Ritter, Thomas Müller-Gronbach, Tim Wagner

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

rate of convergenceoptimalitystochastic heat equationEuler schemesimulation experimentsadditive nuclear noisenon-asymptotic error bounds

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (10)

Weak convergence rates for spatial spectral Galerkin approximations of semilinear stochastic wave equations with multiplicative noise ⋮ An Exponential Wagner--Platen Type Scheme for SPDEs ⋮ On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients ⋮ Strong convergence rates for explicit space-time discrete numerical approximations of stochastic Allen-Cahn equations ⋮ Lower and upper bounds for strong approximation errors for numerical approximations of stochastic heat equations ⋮ Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients ⋮ Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients ⋮ A local discontinuous Galerkin method for nonlinear parabolic SPDEs ⋮ Pathwise numerical approximations of SPDEs with additive noise under non-global Lipschitz coefficients ⋮ A Milstein scheme for SPDEs

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• Optimal approximation of SDE's with additive fractional noise
• Cubature on Wiener space
• Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations
• On approximation of a class of stochastic integrals and interpolation
• The optimal discretization of stochastic differential equations

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