A local refinement strategy for constructive quantization of scalar SDEs

DOI10.1007/s10208-013-9160-1zbMath1292.65003OpenAlexW2094285794MaRDI QIDQ2441421

Klaus Ritter, Thomas Müller-Gronbach

Publication date: 24 March 2014

Published in: Foundations of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10208-013-9160-1

zbMATH Keywords

stochastic differential equationconstructive methodfunctional quantizationstrong asymptotic optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Derandomization of the Euler scheme for scalar stochastic differential equations ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing ⋮ A local refinement strategy for constructive quantization of scalar SDEs ⋮ Random bit quadrature and approximation of distributions on Hilbert spaces ⋮ On the complexity of computing quadrature formulas for marginal distributions of SDEs ⋮ How complex is a random picture? ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Constructive quantization: approximation by empirical measures
• Derandomization of the Euler scheme for scalar stochastic differential equations
• Linear vs standard information for scalar stochastic differential equations
• High-resolution quantization and entropy coding for fractional Brownian motion
• The coding complexity of diffusion processes under supremum norm distortion
• The coding complexity of diffusion processes under \(L^p[0,1\)-norm distortion]
• The real number model in numerical analysis
• Small ball probabilities around random centers of Gaussian measures and applications to quantization
• Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
• The optimal uniform approximation of systems of stochastic differential equations
• Sharp asymptotics of the functional quantization problem for Gaussian processes.
• Foundations of quantization for probability distributions
• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• A local refinement strategy for constructive quantization of scalar SDEs
• Functional quantization of a class of Brownian diffusions: a constructive approach
• Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
• Convergence of Multi-Dimensional Quantized SDE’s
• Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
• The optimal discretization of stochastic differential equations

This page was built for publication: A local refinement strategy for constructive quantization of scalar SDEs