Optimal sampling design for approximation of stochastic Itô integrals with application to the nonlinear Lebesgue integration

DOI10.1016/j.cam.2012.12.006zbMath1262.65013OpenAlexW2029637269MaRDI QIDQ1947487

Paweł Przybyłowicz

Publication date: 22 April 2013

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.2012.12.006

zbMATH Keywords

Itô integralasymptotic optimalityaverage case settingstandard informationasymptotic settingnonlinear Lebesgue integration

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Numerical solutions to stochastic differential and integral equations (65C30)

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Optimal global approximation of stochastic differential equations with additive Poisson noise ⋮ Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process ⋮ Optimal approximation of Skorohod integrals ⋮ Optimal approximation of stochastic integrals in analytic noise model

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