On the complexity of computing quadrature formulas for marginal distributions of SDEs

DOI10.1016/J.JCO.2014.07.003zbMATH Open1304.65010OpenAlexW1990873620MaRDI QIDQ479002FDOQ479002

Klaus Ritter, Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 5 December 2014

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

Full work available at URL: https://doi.org/10.1016/j.jco.2014.07.003

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zbMATH Keywords

convergencelower boundsquantizationdeterministic algorithmquadrature formulaworst case analysisoptimal algorithmsystem of stochastic differential equations

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (5)

• Truncated control variates for weak approximation schemes
• On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
• Variance reduction for discretised diffusions via regression
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps

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