Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting

DOI10.1016/j.amc.2015.08.055zbMath1410.60058OpenAlexW1257282656MaRDI QIDQ670803

Paweł Przybyłowicz

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.08.055

zbMATH Keywords

Monte Carlo algorithmsglobal approximationminimal error algorithmadaptive/nonadaptive standard informationnon-standard assumptions

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

Optimal pointwise approximation of SDE's from inexact information ⋮ Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh ⋮ Optimal global approximation of stochastic differential equations with additive Poisson noise ⋮ Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process ⋮ Optimal sampling design for global approximation of jump diffusion stochastic differential equations ⋮ Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ Optimal global approximation of jump-diffusion SDEs via path-independent step-size control ⋮ A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations

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