Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure
DOI10.1137/21M1442747zbMath1487.65011arXiv2108.02394OpenAlexW4226061793MaRDI QIDQ5072583
Paweł Przybyłowicz, Łukasz T. Stȩpień, Michał Sobieraj
Publication date: 29 April 2022
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.02394
complexity analysisPoisson random measurestochastic differential equations with jumpslower error boundscountably dimensional Wiener processrandomized Euler algorithm
Analysis of algorithms and problem complexity (68Q25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
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