Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
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Monte Carlo methodserror estimateoptimal algorithmEuler algorithmEuler-integral algorithmstochastic Carathéodory differential equations
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)
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Cites work
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- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 193625 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
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- The Euler scheme with irregular coefficients
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- The power of adaptive algorithms for functions with singularities
- The quantum setting with randomized queries for continuous problems
- The randomized complexity of initial value problems
- Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
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Cited in
(23)- Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
- Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients
- STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
- Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
- A random Euler scheme for Carathéodory differential equations
- Mathematical analysis of a randomized method for fractional Carathéodory type equation with time-irregular coefficients
- Complexity of the derivative-free solution of systems of IVPs with unknown singularity hypersurface
- Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
- A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Derandomization of the Euler scheme for scalar stochastic differential equations
- Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- On approximation of solutions of stochastic delay differential equations via randomized Euler scheme
- A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
- Approximation of piecewise Hölder functions from inexact information
- Optimal sampling design for global approximation of jump diffusion stochastic differential equations
- Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
- Optimal pointwise approximation of SDE's from inexact information
- Nonasymptotic bounds for sampling algorithms without log-concavity
- Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients
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