Nonlinear Lebesgue and Itô integration problems of high complexity

DOI10.1006/jcom.2001.0576zbMath0992.68078OpenAlexW1979531916MaRDI QIDQ5946395

Peter H. Hertling

Publication date: 14 October 2001

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

Full work available at URL: https://doi.org/10.1006/jcom.2001.0576

zbMATH Keywords

complexity of nonlinear Lebesgue integration problems

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25)

Related Items

Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh, Complexity of stochastic integration in Sobolev classes, Complexity of Banach space valued and parametric stochastic Itô integration, Optimal sampling design for global approximation of jump diffusion stochastic differential equations, On the optimal approximation rate of certain stochastic integrals, Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs, Optimal approximation of stochastic integrals in analytic noise model, The optimal discretization of stochastic differential equations, Linear information for approximation of the Itô integrals

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Information of varying cardinality
• Approximation of linear operators on a Wiener space
• On the complexity of stochastic integration
• The optimal discretization of stochastic differential equations
• Stochastic differential equations. An introduction with applications.
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