Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error

DOI10.1016/j.jco.2020.101496zbMath1469.65030arXiv1901.06148OpenAlexW3100661459WikidataQ115350162 ScholiaQ115350162MaRDI QIDQ2192675

Simon Hatzesberger

Publication date: 17 August 2020

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

Full work available at URL: https://arxiv.org/abs/1901.06148

zbMATH Keywords

stochastic differential equationsstrong approximationasymptotic lower error boundsasymptotic upper error boundsstrong asymptotic optimalitytamed Euler schemes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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