On non-polynomial lower error bounds for adaptive strong approximation of SDEs
From MaRDI portal
Publication:2402415
DOI10.1016/j.jco.2017.04.002zbMath1396.65012arXiv1609.08073OpenAlexW2962873919MaRDI QIDQ2402415
Publication date: 7 September 2017
Published in: Journal of Complexity (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.08073
stochastic differential equationsadaptive methodsstrong approximationlower error boundsslow convergence ratesmooth coefficients
Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)
Related Items
A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives, On the performance of the Euler-Maruyama scheme for SDEs with discontinuous drift coefficient, Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error, Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient, On the regularisation of the noise for the Euler-Maruyama scheme with irregular drift, On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients, Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations, Numerical methods for conservation laws with rough flux
Cites Work
- Unnamed Item
- Unnamed Item
- A numerical method for SDEs with discontinuous drift
- On stochastic differential equations with arbitrary slow convergence rates for strong approximation
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps
- A note on Euler approximations for SDEs with Hölder continuous diffusion coefficients
- First order strong approximations of scalar SDEs defined in a domain
- A note on tamed Euler approximations
- Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
- Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
- The optimal uniform approximation of systems of stochastic differential equations
- Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
- Loss of regularity for Kolmogorov equations
- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
- Continuous Markov processes and stochastic equations
- Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
- Adaptive Multilevel Monte Carlo Simulation
- Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- An adaptive Euler-Maruyama scheme for SDEs: convergence and stability
- Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
- An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
- A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
- Implementation and analysis of an adaptive multilevel Monte Carlo algorithm
- Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
- Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence
- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- The optimal discretization of stochastic differential equations
