The optimal uniform approximation of systems of stochastic differential equations (Q1872395)
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scientific article; zbMATH DE number 1906183
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal uniform approximation of systems of stochastic differential equations |
scientific article; zbMATH DE number 1906183 |
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The optimal uniform approximation of systems of stochastic differential equations (English)
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6 May 2003
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The author analyses pathwise approximations of systems of stochastic differential equations. The \(q\)th mean of the maximum distance between approximation and exact solution is chosen as error criterion. Given a finite number of observations of the driving Brownian motion, the proposed adaptive Euler approximation performs optimal under the above criterion.
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adaptive Euler method
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systems of stochastic differential equations
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error criterion
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Brownian motion
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