On the complexity of computing quadrature formulas for marginal distributions of SDEs

DOI10.1016/j.jco.2014.07.003zbMath1304.65010OpenAlexW1990873620MaRDI QIDQ479002

Klaus Ritter, Larisa Yaroslavtseva, Thomas Müller-Gronbach

Publication date: 5 December 2014

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2014.07.003

zbMATH Keywords

convergencequantizationquadrature formulalower boundsoptimal algorithmdeterministic algorithmworst case analysissystem of stochastic differential equations

Mathematics Subject Classification ID

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) Complexity and performance of numerical algorithms (65Y20)

Related Items (5)

Variance reduction for discretised diffusions via regression ⋮ Truncated control variates for weak approximation schemes ⋮ On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients ⋮ Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps ⋮ Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations

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