The optimal free knot spline approximation of stochastic differential equations with additive noise

DOI10.1016/J.CAM.2013.09.034MaRDI QIDQ390445zbMATH OpenOpenAlexFDO

Authors Mehdi Slassi

Publication date 8 January 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1308.0505

zbMATH Keywords

stochastic differential equationspline approximationfree knotspathwise uniform approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: In this paper we analyse the pathwise approximation of stochastic differential equations by polynomial splines with free knots. The pathwise distance between the solution and its approximation is measured globally on the unit interval in the $L_{infty}$-norm, and we study the expectation of this distance. For equations with additive noise we obtain sharp lower and upper bounds for the minimal error in the class of arbitrary spline approximation methods, which use $k$ free knots. The optimal order is achieved by an approximation method $hat{X}_k^{dagger}$, which combines an Euler scheme on a coarse grid with an optimal spline approximation of the Brownian motion $W$ with $k$ free knots.

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Cites work

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Cited in

(4)

• Sequential construction and dimension reduction of Gaussian processes under inequality constraints
• Free-Knot Spline Approximation of Fractional Brownian Motion
• A Milstein-based free knot spline approximation for stochastic differential equations
• Free-knot spline approximation of stochastic processes

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