On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
DOI10.1080/07362994.2016.1263157zbMath1369.65012arXiv1603.08686OpenAlexW2571895757MaRDI QIDQ2986694
Larisa Yaroslavtseva, Thomas Müller-Gronbach
Publication date: 16 May 2017
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.08686
algorithmstochastic differential equationssystemlower boundsnon-Lipschitz coefficientsBrowian motionquadrature problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) 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)
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