Linear vs standard information for scalar stochastic differential equations

DOI10.1006/jcom.2001.0627zbMath1008.65005OpenAlexW2020552778MaRDI QIDQ700169

Klaus Ritter, Norbert Hofmann, Thomas Müller-Gronbach

Publication date: 30 September 2002

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

Full work available at URL: https://doi.org/10.1006/jcom.2001.0627

zbMATH Keywords

stochastic differential equationserror boundsItô-Taylor series methods

Mathematics Subject Classification ID

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)

Related Items

On the global error of Itô--Taylor schemes for strong approximation of scalar stochastic differential equations, Strong approximation of some particular one-dimensional diffusions, A local refinement strategy for constructive quantization of scalar SDEs, Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients, On irregular functionals of SDEs and the Euler scheme, Optimal approximation of SDE's with additive fractional noise, Linear information for approximation of the Itô integrals

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