Complexity of Banach space valued and parametric stochastic Itô integration

DOI10.1016/J.JCO.2017.01.004MaRDI QIDQ2396717zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Wiener processlower boundsBanach spaceEuler-Maruyama schemestochastic integralparametric problemmultilevel algorithmstochastic 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)

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• 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
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• Deterministic and stochastic error bounds in numerical analysis
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• Martingales in Banach spaces
• Martingales with values in uniformly convex spaces
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• Monte Carlo complexity of parametric integration
• Multilevel Monte Carlo Path Simulation
• Nonlinear Lebesgue and Itô integration problems of high complexity
• On the complexity of stochastic integration
• Randomization for continuous problems
• Step size control for the uniform approximation of systems of stochastic differential equations with additive noise.

Cited in

(5)

• Lower complexity bounds for parametric stochastic Itô integration
• On the randomized complexity of Banach space valued integration
• On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
• Optimal approximation of stochastic integrals in analytic noise model
• Complexity of Banach space valued and parametric integration

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