The optimal uniform approximation of systems of stochastic differential equations (Q1872395)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal uniform approximation of systems of stochastic differential equations |
scientific article |
Statements
The optimal uniform approximation of systems of stochastic differential equations (English)
0 references
6 May 2003
0 references
The author analyses pathwise approximations of systems of stochastic differential equations. The \(q\)th mean of the maximum distance between approximation and exact solution is chosen as error criterion. Given a finite number of observations of the driving Brownian motion, the proposed adaptive Euler approximation performs optimal under the above criterion.
0 references
adaptive Euler method
0 references
systems of stochastic differential equations
0 references
error criterion
0 references
Brownian motion
0 references
