Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients

DOI10.1016/j.cam.2015.01.003zbMath1322.65015OpenAlexW2005515012MaRDI QIDQ2255720

Paweł Przybyłowicz

Publication date: 18 February 2015

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.2015.01.003

zbMATH Keywords

convergencestochastic differential equationsMonte Carlo methodsasymptotic errorlower boundsoptimal algorithmnon-standard assumptionsone-point approximationrandomized Euler scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) 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)

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