Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods

DOI10.1007/S10444-018-9638-0zbMATH Open1415.60057OpenAlexW2898589565WikidataQ129049698 ScholiaQ129049698MaRDI QIDQ2000498FDOQ2000498

Xiao Tang, Aiguo Xiao

Publication date: 28 June 2019

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10444-018-9638-0

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zbMATH Keywords

stochastic integralsasymptotically optimal approximationstrong second-order methods

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (13)

• An Optimal Polynomial Approximation of Brownian Motion
• A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space
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• The Proof of Convergence with Probability 1 in the Method of Expansion of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series
• Title not available (Why is that?)
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• Application of the Method of Approximation of Iterated Ito Stochastic Integrals Based on Generalized Multiple Fourier Series to the High-Order Strong Numerical Methods for Non-Commutative Semilinear Stochastic Partial Differential Equations
• Title not available (Why is that?)
• An efficient approximation method for stochastic differential equations by means of the exponential Lie series
• Title not available (Why is that?)
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• Optimal Approximation of the Second Iterated Integral of Brownian Motion

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