Optimal pointwise approximation of anticipating SDEs

DOI10.3934/dcdsb.2023152arXiv1903.12034OpenAlexW4386452376MaRDI QIDQ6120365

Peter Parczewski

Publication date: 20 February 2024

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.12034

zbMATH Keywords

Malliavin calculusWiener chaosSkorohod integralexact rate of convergenceanticipating stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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