Adaptive Itô-Taylor algorithm can optimally approximate the Itô integrals of singular functions

DOI10.1016/j.cam.2010.05.033zbMath1208.65018OpenAlexW2036468104MaRDI QIDQ711243

Paweł Przybyłowicz

Publication date: 25 October 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.05.033

zbMATH Keywords

adaptive algorithmoptimal algorithmsingular problemsstandard informationItô-Taylor algorithmr-fold integrated Brownian motionstochastic Itô-integrals

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (10)

Complexity of stochastic integration in Sobolev classes ⋮ Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process ⋮ Complexity of Banach space valued and parametric stochastic Itô integration ⋮ Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients ⋮ Optimal solution of a class of non-autonomous initial-value problems with unknown singularities ⋮ Monte Carlo integration of \(C^r\) functions with adaptive variance reduction: an asymptotic analysis ⋮ Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm ⋮ Optimal adaptive solution of piecewise regular systems of IVPs with unknown switching hypersurface ⋮ Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients ⋮ Optimal approximation of stochastic integrals in analytic noise model

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