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

Recommendations

• On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations
• Numerical solutions of linear stochastic differential equations
• scientific article; zbMATH DE number 2024673
• Simulation of stochastic differential equations

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)

Cites Work

• Average-case analysis of numerical problems
• Title not available (Why is that?)
• Title not available (Why is that?)
• Approximate Integration of Stochastic Differential Equations
• The optimal discretization of stochastic differential equations
• On the average complexity of multivariate problems
• On adaptive information with varying cardinality for linear problems with elliptically contoured measures
• Approximation of linear operators on a Wiener space
• Title not available (Why is that?)

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
• Linear information for approximation of the Itô integrals
• A local refinement strategy for constructive quantization of scalar SDEs
• On irregular functionals of SDEs and the Euler scheme
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
• Strong approximation of some particular one-dimensional diffusions

This page was built for publication: Linear vs standard information for scalar stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q700169)