Lower complexity bounds for parametric stochastic Itô integration

DOI10.1007/978-3-319-91436-7_16zbMath1405.60073OpenAlexW2810850691MaRDI QIDQ1722526

Stefan Heinrich

Publication date: 18 February 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-91436-7_16

zbMATH Keywords

complexitystochastic integrationparametric problemsdeterministic and stochastic algorithms

Mathematics Subject Classification ID

Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20)

Related Items (4)

Complexity of stochastic integration in Sobolev classes ⋮ Randomized complexity of parametric integration and the role of adaption. I: Finite dimensional case ⋮ On the Power of Restricted Monte Carlo Algorithms ⋮ Optimal approximation of stochastic integrals in analytic noise model

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