On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients

DOI10.1080/07362994.2016.1263157zbMath1369.65012arXiv1603.08686OpenAlexW2571895757MaRDI QIDQ2986694

Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 16 May 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08686

zbMATH Keywords

algorithmstochastic differential equationssystemlower boundsnon-Lipschitz coefficientsBrowian motionquadrature problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) 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 (4)

Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes ⋮ On stochastic differential equations with arbitrarily slow convergence rates for strong approximation in two space dimensions ⋮ Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations

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