A Milstein-based free knot spline approximation for stochastic differential equations

DOI10.1016/J.JCO.2011.03.005MaRDI QIDQ657649zbMATH OpenOpenAlexFDO

Authors Mehdi Slassi

Publication date 10 January 2012

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

Full work available at URL https://arxiv.org/abs/1306.4457

zbMATH Keywords

Euler schemeMilstein schemestochastic differential equationspolynomial splinesfree knot splines

Mathematics Subject Classification ID

Brownian motion (60J65) 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)

Abstract: The main purpose of this paper is to give a solution to a long-standing unsolved problem concerning the pathwise strong approximation of stochastic differential equations with respect to the global error in the $L_{infty}$-norm. Typically, one has average supnorm error of order $left(lnk/kight{)}^{1/2}$ for standard approximations of SDEs with $k$ discretization points, like piecewise interpolated Ito-Taylor schemes. On the other hand there is a lower bound, which indicates that the order $1/sqrtk$ is best possible for spline approximation of SDEs with $k$ free knots. The present paper deals with the question of how to get an implementable method, which achieves the order $1/sqrtk$. Up to now, papers with regard to this issue give only pure existence results and so are inappropriate for practical use. In this paper we introduce a nonlinear method for approximating a scalar SDE. The method combines a Milstein scheme with a pieceweise linear interpolation of the Brownian motion with free knots and is easy to implement. Moreover, we establish sharp lower and upper error bounds with specified constants which exhibit the influence of the coefficients of the equation.

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Cited in

(4)

• Adaptive wavelet methods for the stochastic Poisson equation
• Free-Knot Spline Approximation of Fractional Brownian Motion
• Free-knot spline approximation of stochastic processes
• The optimal free knot spline approximation of stochastic differential equations with additive noise

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