Adaptive weak approximation of stochastic differential equations
From MaRDI portal
Recommendations
- Euler-type approximation for systems of stochastic differential equations
- An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
- On the pathwise approximation of stochastic differential equations
- Convergence rate of Euler scheme for stochastic differential equations: Functionals of solutions
- Adaptive Weak Approximation of Diffusions with Jumps
- Optimal approximation of stochastic differential equations by adaptive step-size control
- The optimal uniform approximation of systems of stochastic differential equations
Cites work
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- scientific article; zbMATH DE number 3182507 (Why is no real title available?)
- A Posteriori Error Bounds and Global Error Control for Approximation of Ordinary Differential Equations
- Adaptive finite element methods for conservation laws based on a posteriori error estimates
- Diffusion processes with continuous coefficients, I
- Error Estimates and Adaptive Time-Step Control for a Class of One-Step Methods for Stiff Ordinary Differential Equations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
- Optimal approximation of stochastic differential equations by adaptive step-size control
- The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
Cited in
(41)- Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
- An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
- An adaptive weak continuous Euler-Maruyama method for stochastic delay differential equations
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
- Diffusion approximation of Lévy processes with a view towards finance
- A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
- Adaptive time-stepping for the strong numerical solution of stochastic differential equations
- Adaptive weak approximation of reflected and stopped diffusions
- Adaptive lattice methods for multi-asset models
- Continuous-time random walks for the numerical solution of stochastic differential equations
- Weak convergence rates for an explicit full-discretization of stochastic Allen-Cahn equation with additive noise
- Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation
- Weak approximation of stochastic partial differential equations: the nonlinear case
- Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
- A Variable Step Size Riemannian Sum for an Itô Integral
- Adaptive stepsize based on control theory for stochastic differential equations
- Adaptive time-stepping using control theory for the chemical Langevin equation
- On the pathwise approximation of stochastic differential equations
- A variable step-size control algorithm for the weak approximation of stochastic differential equations
- A continuation multilevel Monte Carlo algorithm
- Monte Carlo Euler approximations of HJM term structure financial models
- SDE based regression for linear random PDEs
- Computable error estimates for finite element approximations of elliptic partial differential equations with rough stochastic data
- A stochastic phase-field model determined from molecular dynamics
- Weak error for stable driven stochastic differential equations: expansion of the densities
- scientific article; zbMATH DE number 5049181 (Why is no real title available?)
- Adaptive Weak Approximation of Diffusions with Jumps
- Numerical methods for conservation laws with rough flux
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
- Towards automatic global error control: Computable weak error expansion for the tau-leap method
- Coarse-graining schemes anda posteriorierror estimates for stochastic lattice systems
- Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
- Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
- Long-term adaptive symplectic numerical integration of linear stochastic oscillators driven by additive white noise
- Convergence rates for an adaptive dual weighted residual finite element algorithm
- A step size control algorithm for the weak approximation of stochastic differential equations
- Adaptive concepts for stochastic partial differential equations
- Strong representation of an adaptive stochastic approximation procedure
This page was built for publication: Adaptive weak approximation of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4790252)
