Free-knot spline approximation of stochastic processes

DOI10.1016/j.jco.2007.05.003zbMath1134.65010arXivmath/0612313OpenAlexW2037760662MaRDI QIDQ2465309

Jakob Creutzig, Thomas Müller-Gronbach, Klaus Ritter

Publication date: 9 January 2008

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612313

zbMATH Keywords

Diffusion processStochastic differential equationFree knotsIntegrated Wiener processOptimal spline approximation

Mathematics Subject Classification ID

Related Items (13)

Parameter Estimation in Stochastic Differential Equations ⋮ A generative model for fBm with deep ReLU neural networks ⋮ Sequential Construction and Dimension Reduction of Gaussian Processes Under Inequality Constraints ⋮ The optimal free knot spline approximation of stochastic differential equations with additive noise ⋮ Spline approximation of a random process with singularity ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ On Linear Versus Nonlinear Approximation in the Average Case Setting ⋮ A Milstein-based free knot spline approximation for stochastic differential equations ⋮ Adaptive wavelet methods for the stochastic Poisson equation ⋮ On the construction of stochastic fields with prescribed regularity by wavelet expansions ⋮ Energy of taut strings accompanying Wiener process

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