On stochastic differential equations with arbitrary slow convergence rates for strong approximation (Q344368)
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| Language | Label | Description | Also known as |
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| English | On stochastic differential equations with arbitrary slow convergence rates for strong approximation |
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On stochastic differential equations with arbitrary slow convergence rates for strong approximation (English)
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22 November 2016
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It is proved that there are stochastic differential equations with bounded infinitely differentiable coefficient functions for which no method of approximation of their solution that requires a finite number of observations of the driving Brownian motion will converge in absolute mean to the solution with a polynomial rate of convergence. Also it is proved that, given any rate of convergence, there are equations of this type for which no such method will yield convergence in absolute mean faster than that given rate.
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stochastic differential equation
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smooth coefficients
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strong approximation
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lower error bounds
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slow convergence rate
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bounded infinitely differentiable coefficient functions
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