Complexity of Banach space valued and parametric stochastic Itô integration
نویسندگان
چکیده
منابع مشابه
Complexity of Banach space valued and parametric stochastic Itô integration
We present a complexity analysis for strong approximation of Banach space valued and parameter dependent scalar stochastic Itô integration, driven by a Wiener process. Both definite and indefinite integration are considered. We analyze the Banach space valued version of the EulerMaruyama scheme. Based on these results, we define a multilevel algorithm for the parameter dependent stochastic inte...
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ژورنال
عنوان ژورنال: Journal of Complexity
سال: 2017
ISSN: 0885-064X
DOI: 10.1016/j.jco.2017.01.004