Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
DOI10.1016/j.apnum.2013.12.003zbMath1284.65012MaRDI QIDQ2437367
Paweł M. Morkisz, Paweł Przybyłowicz
Publication date: 3 March 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2013.12.003
Monte Carlo methods; error estimate; optimal algorithm; Euler algorithm; Euler-integral algorithm; stochastic Carathéodory differential equations
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34F05: Ordinary differential equations and systems with randomness
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
65L70: Error bounds for numerical methods for ordinary differential equations
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- How to increase the order to get minimal-error algorithms for systems of ODE
- Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions
- The quantum setting with randomized queries for continuous problems
- Almost optimal solution of initial-value problems by randomized and quantum algorithms
- Runge-Kutta methods for affinely controlled nonlinear systems
- Optimal adaptive solution of initial-value problems with unknown singularities
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Deterministic and stochastic error bounds in numerical analysis
- Error analysis of a randomized numerical method
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
- The Euler scheme with irregular coefficients
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
- Numerical methods for systems with measurable coefficients
- Introduction to stochastic integration.
- The power of adaptive algorithms for functions with singularities
- Higher order numerical approximation of switching systems
- A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient
- The randomized complexity of initial value problems
- A random Euler scheme for Carathéodory differential equations
- Adaption allows efficient integration of functions with unknown singularities
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- Discrete Approximations of Strong Solutions of Reflecting SDEs with Discontinuous Coefficients
- Euler's Approximations of Weak Solutions of Reflecting SDEs with Discontinuous Coefficients
- Higher order numerical schemes for affinely controlled nonlinear systems