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

DOI10.1016/j.cam.2013.09.034zbMath1281.60063arXiv1308.0505MaRDI QIDQ390445

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 equation; spline approximation; free knots; pathwise uniform approximation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

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