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

DOI10.1016/J.JCO.2005.07.005zbMATH Open1098.65098OpenAlexW2138639406MaRDI QIDQ2489153FDOQ2489153

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/

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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)

Cites Work

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• The real number model in numerical analysis
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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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