Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

DOI10.1016/J.APNUM.2013.12.003zbMATH Open1284.65012OpenAlexW2020481578MaRDI QIDQ2437367FDOQ2437367

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

zbMATH Keywords

Monte Carlo methodserror estimateoptimal algorithmEuler algorithmEuler-integral algorithmstochastic Carathéodory differential equations

Mathematics Subject Classification ID

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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Cited In (20)

• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations
• Optimal pointwise approximation of SDE's from inexact information
• Complexity of the derivative-free solution of systems of IVPs with unknown singularity hypersurface
• Mathematical analysis of a randomized method for fractional Carathéodory type equation with time-irregular coefficients
• Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
• Optimal global approximation of stochastic differential equations with additive Poisson noise
• A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
• Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• Approximation of piecewise Hölder functions from inexact information
• Nonasymptotic bounds for sampling algorithms without log-concavity
• Error analysis of randomized Runge-Kutta methods for differential equations with time-irregular coefficients
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure
• Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients
• Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
• On approximation of solutions of stochastic delay differential equations via randomized Euler scheme

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