Complexity of Banach space valued and parametric stochastic Itô integration
DOI10.1016/J.JCO.2017.01.004zbMATH Open1365.65013OpenAlexW2581720476MaRDI QIDQ2396717FDOQ2396717
Authors: Thomas Daun, Stefan Heinrich 
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
Recommendations
- Complexity of Banach space valued and parametric integration
- Lower complexity bounds for parametric stochastic Itô integration
- Nonlinear Lebesgue and Itô integration problems of high complexity
- On the complexity of stochastic integration
- On the randomized complexity of Banach space valued integration
Wiener processlower boundsBanach spaceEuler-Maruyama schemestochastic integralparametric problemmultilevel algorithmstochastic Itô integration
Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Multilevel Monte Carlo Path Simulation
- Martingales with values in uniformly convex spaces
- Monte Carlo complexity of global solution of integral equations
- Monte Carlo complexity of parametric integration
- Title not available (Why is that?)
- Deterministic and stochastic error bounds in numerical analysis
- On the complexity of stochastic integration
- Title not available (Why is that?)
- Title not available (Why is that?)
- Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions
- Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.
- Approximation and optimization on the Wiener space
- Martingales in Banach spaces
- Title not available (Why is that?)
- Linear information for approximation of the Itô integrals
- Nonlinear Lebesgue and Itô integration problems of high complexity
- Randomization for continuous problems
- Title not available (Why is that?)
- Complexity of parametric initial value problems in Banach spaces
Cited In (5)
- Optimal approximation of stochastic integrals in analytic noise model
- On the randomized complexity of Banach space valued integration
- Complexity of Banach space valued and parametric integration
- Lower complexity bounds for parametric stochastic Itô integration
- On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
This page was built for publication: Complexity of Banach space valued and parametric stochastic Itô integration
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2396717)
