Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
From MaRDI portal
Publication:2199772
optimalitypointwise approximation\(n\)th minimal errorSDEsrandomized Milstein algorithmstandard noisy information
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: We deal with pointwise approximation of solutions of scalar stochastic differential equations in the presence of informational noise about underlying drift and diffusion coefficients. We define a randomized derivative-free version of Milstein algorithm and investigate its error. We also study lower bounds on the error of an arbitrary algorithm. It turns out that in some case the scheme is the optimal one. Finally, in order to test the algorithm in practice, we report performed numerical experiments.
Recommendations
- Optimal pointwise approximation of SDE's from inexact information
- A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
- Randomized Runge-Kutta method -- stability and convergence under inexact information
- On the randomized Euler schemes for ODEs under inexact information
- Derandomization of the Euler scheme for scalar stochastic differential equations
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 193625 (Why is no real title available?)
- scientific article; zbMATH DE number 1153816 (Why is no real title available?)
- A random Euler scheme for Carathéodory differential equations
- A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
- Approximation of piecewise Hölder functions from inexact information
- Complexity of stochastic integration in Sobolev classes
- Conditional expectations associated with stochastic processes
- Conditionally optimal algorithms and estimation of reduced order models
- Deterministic and stochastic error bounds in numerical analysis
- Higher-order implicit strong numerical schemes for stochastic differential equations
- On the minimal cost of approximating linear problems based on information with deterministic noise
- On the optimal robust solution of IVPs with noisy information
- Optimal approximation of stochastic integrals in analytic noise model
- Optimal estimation theory for dynamic systems with set membership uncertainty: An overview
- Optimal pointwise approximation of SDE's from inexact information
- Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
- The complexity of definite elliptic problems with noisy data
- The complexity of indefinite elliptic problems with noisy data
Cited in
(12)- An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
- Randomized Runge-Kutta method -- stability and convergence under inexact information
- A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
- On the randomized Euler schemes for ODEs under inexact information
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- A simplified Milstein scheme for SPDEs with multiplicative noise
- A derivative-free Milstein type approximation method for SPDEs covering the non-commutative noise case
- Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
- Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
- On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
- Euler scheme for approximation of solution of nonlinear ODEs under inexact information
- Optimal pointwise approximation of SDE's from inexact information
This page was built for publication: Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2199772)
