Simulation and Approximation of Stochastic Processes by Spline Functions

DOI10.1137/0913063zbMath0764.65096OpenAlexW2011649195MaRDI QIDQ4021690

Michael Weba

Publication date: 16 January 1993

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0913063

zbMATH Keywords

interpolationnumerical examplenumerical integrationerror boundconvergence ratepiecewise cubic splinesapproximations of stochastic processesdistributions of continuous functionalsstochastic differentiation equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

Rate of convergence of local linearization schemes for random differential equations ⋮ Non parametric estimation of smooth stationary covariance functions by interpolation methods ⋮ On convergence of the uniform norms for Gaussian processes and linear approximation problems ⋮ Spline approximation of random processes and design problems ⋮ Improving density estimators of discretely observed processes by interpolation ⋮ The local linearization method for numerical integration of random differential equations

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