Optimality of Euler-type algorithms for approximation of stochastic differential equations with discontinuous coefficients

DOI10.1080/00207160.2013.844336zbMath1384.65010OpenAlexW2071075404MaRDI QIDQ2935370

Paweł Przybyłowicz

Publication date: 29 December 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.844336

zbMATH Keywords

Brownian motiondiscontinuous coefficientsstochastic differential equationsoptimal algorithmadaptive meshsingular problemsstandard informationEuler-type algorithmunknown singularities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)

Related Items (7)

Optimal global approximation of stochastic differential equations with additive Poisson noise ⋮ Approximation of piecewise Hölder functions from inexact information ⋮ Complexity of the derivative-free solution of systems of IVPs with unknown singularity hypersurface ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting ⋮ Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

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