On the complexity of parabolic initial-value problems with variable drift

DOI10.1016/J.JCO.2005.07.005MaRDI QIDQ2489153zbMATH OpenOpenAlexFDO

Authors Knut Petras, Klaus Ritter

Publication date 16 May 2006

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

Full work available at URL https://drops.dagstuhl.de/opus/volltexte/2005/149/

zbMATH Keywords

error boundscomplexityMonte Carlo methodOptimal algorithmVariance reductionWorst case analysisVariable coefficientsParabolic initial value problemSmolyak formula

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Initial value problems for second-order parabolic equations (35K15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 44104 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• A new algorithm and worst case complexity for Feynman-Kac path integration.
• A survey of numerical methods for stochastic differential equations
• An optimal Monte Carlo algorithm for multivariate Feynman–Kac path integrals
• Applicability of Smolyak's algorithms to certain Banach spaces of multivariate functions.
• Characterization of the law of the iterated logarithm in Banach spaces
• Complexity of weighted approximation over \(\mathbb{R}^d\)
• Deterministic and stochastic error bounds in numerical analysis
• Explicit cost bounds of algorithms for multivariate tensor product problems
• Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method
• The real number model in numerical analysis
• Worst case complexity of multivariate Feynman--Kac path integration

Cited in

(7)

• On the complexity of parametric ODEs and related problems
• On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
• What is the Complexity of Related Elliptic, Parabolic, and Hyperbolic Problems?
• On the complexity of computing quadrature formulas for marginal distributions of SDEs
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Derandomization of the Euler scheme for scalar stochastic differential equations
• The randomized information complexity of elliptic PDE

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