Linear vs standard information for scalar stochastic differential equations

DOI10.1006/JCOM.2001.0627zbMATH Open1008.65005OpenAlexW2020552778MaRDI QIDQ700169FDOQ700169

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 boundsstochastic differential equationsItô-Taylor series methods

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)

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Cites work

• scientific article; zbMATH DE number 3642443 (Why is no real title available?)
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• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Approximate Integration of Stochastic Differential Equations
• Approximation of linear operators on a Wiener space
• Average-case analysis of numerical problems
• 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

(7)

• Optimal approximation of SDE's with additive fractional noise
• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
• A local refinement strategy for constructive quantization of scalar SDEs
• On irregular functionals of SDEs and the Euler scheme
• Linear information for approximation of the Itô integrals
• Strong approximation of some particular one-dimensional diffusions

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