Simulation and Approximation of Stochastic Processes by Spline Functions

DOI10.1137/0913063MaRDI QIDQ4021690zbMATH OpenOpenAlexFDO

Authors Michael Weba

Publication date 16 January 1993

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0913063

zbMATH Keywords

interpolationnumerical integrationconvergence rateerror boundnumerical examplepiecewise cubic splinesapproximations of stochastic processesdistributions of continuous functionalsstochastic differentiation equations

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

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• A Milstein-based free knot spline approximation for stochastic differential equations
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• Approximation of stochastic processes by spline systems
• Stochastic dynamic models and Chebyshev splines
• Spline approximation of random processes and design problems
• The local linearization method for numerical integration of random differential equations
• Approximation of random processes by cubic splines
• scientific article; zbMATH DE number 3940596 (Why is no real title available?)
• Improving density estimators of discretely observed processes by interpolation
• Non parametric estimation of smooth stationary covariance functions by interpolation methods
• Rate of convergence of local linearization schemes for random differential equations
• On convergence of the uniform norms for Gaussian processes and linear approximation problems

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