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

DOI10.1016/J.CAM.2010.05.033MaRDI QIDQ711243zbMATH OpenOpenAlexFDO

Authors 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 informationr-fold integrated Brownian motionItô-Taylor algorithmstochastic 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)

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Cites work

• scientific article; zbMATH DE number 44104 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Improved bounds on the randomized and quantum complexity of initial-value problems
• Information of varying cardinality
• Linear information for approximation of the Itô integrals
• On the complexity of stochastic integration
• Optimal adaptive solution of initial-value problems with unknown singularities
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• The power of adaption for approximating functions with singularities
• The power of adaptive algorithms for functions with singularities
• Uniform approximation of piecewise \(r\)-smooth and globally continuous functions

Cited in

(12)

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

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