Linear vs standard information for scalar stochastic differential equations

DOI10.1006/JCOM.2001.0627MaRDI QIDQ700169zbMATH OpenOpenAlexFDO

Authors Norbert Hofmann, Thomas Müller-Gronbach, Klaus Ritter

Publication date 30 September 2002

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

Full work available at URL https://doi.org/10.1006/jcom.2001.0627

zbMATH Keywords

error boundsItô-Taylor series methodsstochastic 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)

Review text

The authors study the strong order of accuracy with respect to the mean squared \(L_2\) error of Itô-Taylor series methods applied to scalar nonlinear stochastic differential equations globally on the internal of integration. The error differences between methods which use only the Wiener increment and higher-order Itô integrals differ only by \(\sqrt{6/\pi}\) asymptotically. Of course if comparisons are made at a single point this result is no longer true.

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Cites work

• Approximate Integration of Stochastic Differential Equations
• Approximation of linear operators on a Wiener space
• Average-case analysis of numerical problems
• scientific article; zbMATH DE number 3642443 (Why is no real title available?)
• scientific article; zbMATH DE number 44104 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• On adaptive information with varying cardinality for linear problems with elliptically contoured measures
• On the average complexity of multivariate problems
• The optimal discretization of stochastic differential equations

Cited in

(9)

• Linear information for approximation of the Itô integrals
• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• A local refinement strategy for constructive quantization of scalar SDEs
• Optimal approximation of SDE's with additive fractional noise
• Strong approximation of some particular one-dimensional diffusions
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
• The order barrier for the L^1-approximation of the log-Heston SDE at a single point
• A class of stochastic Runge-Kutta methods for stochastic differential equations converging uniformly with order 1 in L^p-norm
• On irregular functionals of SDEs and the Euler scheme

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