Nonlinear Lebesgue and Itô integration problems of high complexity

DOI10.1006/JCOM.2001.0576MaRDI QIDQ5946395zbMATH OpenOpenAlexFDO

Authors P. H. Hertling

Publication date 14 October 2001

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jcom.2001.0576

zbMATH Keywords

complexity of nonlinear Lebesgue integration problems

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25)

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Cites work

• Approximation of linear operators on a Wiener space
• Higher-order implicit strong numerical schemes for stochastic differential equations
• scientific article; zbMATH DE number 3673243 (Why is no real title available?)
• scientific article; zbMATH DE number 44104 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Information of varying cardinality
• On the complexity of stochastic integration
• Stochastic differential equations. An introduction with applications.
• The optimal discretization of stochastic differential equations

Cited in

(13)

• Linear information for approximation of the Itô integrals
• What is the complexity of Stieltjes integration?
• Lower complexity bounds for parametric stochastic Itô integration
• Optimal sampling design for approximation of stochastic Itô integrals with application to the nonlinear Lebesgue integration
• Optimal approximation of stochastic integrals in analytic noise model
• Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
• Complexity of Banach space valued and parametric stochastic Itô integration
• Complexity of stochastic integration in Sobolev classes
• The descriptive complexity of stochastic integration
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• The optimal discretization of stochastic differential equations
• On the optimal approximation rate of certain stochastic integrals
• Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs

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