Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process

DOI10.1007/S11075-023-01682-YMaRDI QIDQ6582398zbMATH OpenFDO

Authors Łukasz T. Stȩpień

Publication date 2 August 2024

Published in Numerical Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11075-023-01682-Y

zbMATH Keywords

adaptive step-size controlasymptotically optimal algorithmcountably dimensional Wiener processinformation-based complexityminimal error boundsstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Optimal approximation of stochastic differential equations by adaptive step-size control
• A variable step-size control algorithm for the weak approximation of stochastic differential equations
• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
• Optimal global approximation of jump-diffusion SDEs via path-independent step-size control

Cites work

• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Complexity of stochastic integration in Sobolev classes
• Deterministic and stochastic error bounds in numerical analysis
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Euler scheme for solutions of a countable system of stochastic differential equations
• scientific article; zbMATH DE number 193625 (Why is no real title available?)
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Lévy Processes and Stochastic Calculus
• Numerical solution of stochastic differential equations with jumps in finance
• On a type of stochastic differential equations driven by countably many Brownian motions
• On stochastic equations with respect to semimartingales I.^†
• Optimal approximation of stochastic differential equations by adaptive step-size control
• Optimal global approximation of jump-diffusion SDEs via path-independent step-size control
• Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information
• Stochastic calculus and applications
• Stochastic Differential Equation Driven by Countably Many Brownian Motions with Non-Lipschitzian Coefficients
• Stochastic Equations in Infinite Dimensions
• Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm
• The optimal discretization of stochastic differential equations
• Theory of stochastic differential equations with jumps and applications.

Cited in

(1)

• A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure

This page was built for publication: Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6582398)