Optimal approximation of stochastic differential equations by adaptive step-size control
نویسندگان
چکیده
منابع مشابه
Optimal approximation of stochastic differential equations by adaptive step-size control
We study the pathwise (strong) approximation of scalar stochastic differential equations with respect to the global error in the L2-norm. For equations with additive noise we establish a sharp lower error bound in the class of arbitrary methods that use a fixed number of observations of the driving Brownian motion. As a consequence, higher order methods do not exist if the global error is analy...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 1999
ISSN: 0025-5718
DOI: 10.1090/s0025-5718-99-01177-1