On non-polynomial lower error bounds for adaptive strong approximation of SDEs
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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 (10)
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
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