Minimal Errors for Strong and Weak Approximation of Stochastic Differential Equations

DOI10.1007/978-3-540-74496-2_4zbMath1140.65305OpenAlexW1040208284MaRDI QIDQ3504215

Klaus Ritter, Thomas Müller-Gronbach

Publication date: 11 June 2008

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-74496-2_4

zbMATH Keywords

algorithmsBrownian motionweak approximationstrong approximationworst-case analysissystems of stochastic differential equationsminimal errorsquantization numbersaverage Kolmogorov widths

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) Error bounds for numerical methods for ordinary differential equations (65L70)

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