Complexity of Banach space valued and parametric stochastic Itô integration

DOI10.1016/j.jco.2017.01.004zbMath1365.65013OpenAlexW2581720476MaRDI QIDQ2396717

Stefan Heinrich, Thomas Daun

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

zbMATH Keywords

Wiener processBanach spacelower boundsstochastic integralmultilevel algorithmEuler-Maruyama schemeparametric problemstochastic Itô integration

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)

Related Items

On approximation of solutions of stochastic delay differential equations via randomized Euler scheme, Optimal approximation of stochastic integrals in analytic noise model

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