Linear information for approximation of the Itô integrals

DOI10.1007/s11075-009-9307-yzbMath1185.65012OpenAlexW1966128159MaRDI QIDQ1047177

Paweł Przybyłowicz

Publication date: 4 January 2010

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-009-9307-y

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Complexity of stochastic integration in Sobolev classes ⋮ Complexity of Banach space valued and parametric stochastic Itô integration ⋮ On the optimal approximation rate of certain stochastic integrals ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ Optimal approximation of stochastic integrals in analytic noise model ⋮ Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions

Cites Work

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• Linear vs standard information for scalar stochastic differential equations
• Average-case analysis of numerical problems
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• Information of varying cardinality
• On the complexity of stochastic integration
• Designs for Regression Problems with Correlated Errors III
• Nonlinear Lebesgue and Itô integration problems of high complexity

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