Complexity and effective dimension of discrete Lévy areas

DOI10.1016/J.JCO.2006.12.006zbMATH Open1123.65005OpenAlexW2051791541MaRDI QIDQ883328FDOQ883328

Authors: Klaus Scheicher 

Publication date: 4 June 2007

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2006.12.006

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zbMATH Keywords

computational complexityEuler methodRunge-Kutta methodcomparison of methodslinear Brownian pathmultidimensional stochastic differential equationItô integralLévy stochastic area

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

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Cited In (7)

• Fast QMC matrix-vector multiplication
• Fast orthogonal transforms and generation of Brownian paths
• High dimensional integration of kinks and jumps -- smoothing by preintegration
• The approximate Euler method for Lévy driven stochastic differential equations
• Discretizing the fractional Lévy area
• Efficient almost-exact Lévy area sampling
• On the approximation and simulation of iterated stochastic integrals and the corresponding Lévy areas in terms of a multidimensional Brownian motion

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