Complexity of Banach space valued and parametric stochastic Itô integration
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Publication:2396717
DOI10.1016/j.jco.2017.01.004zbMath1365.65013OpenAlexW2581720476MaRDI QIDQ2396717
Publication date: 24 May 2017
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jco.2017.01.004
Wiener processBanach spacelower boundsstochastic integralmultilevel algorithmEuler-Maruyama schemeparametric problemstochastic Itô integration
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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On approximation of solutions of stochastic delay differential equations via randomized Euler scheme, Optimal approximation of stochastic integrals in analytic noise model
Cites Work
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