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

DOI10.1016/J.CAM.2010.05.033zbMATH Open1208.65018OpenAlexW2036468104MaRDI QIDQ711243FDOQ711243

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

Recommendations

• The power of adaptive algorithms for functions with singularities
• Optimal sampling design for approximation of stochastic Itô integrals with application to the nonlinear Lebesgue integration
• Linear information for approximation of the Itô integrals
• Adaption allows efficient integration of functions with unknown singularities
• Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process

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)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
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• Designs for Regression Problems with Correlated Errors
• Designs for Regression Problems with Correlated Errors III
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• The power of adaptive algorithms for functions with singularities
• Adaption allows efficient integration of functions with unknown singularities
• The power of adaption for approximating functions with singularities
• Uniform approximation of piecewise \(r\)-smooth and globally continuous functions
• Optimal adaptive solution of initial-value problems with unknown singularities
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• Information of varying cardinality
• Linear information for approximation of the Itô integrals
• Improved bounds on the randomized and quantum complexity of initial-value problems

Cited In (12)

• 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
• Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

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