Optimal pointwise approximation of SDE’s from inexact information-Reference-Cited by-同舟云学术

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Optimal pointwise approximation of SDE’s from inexact information

Published:2017-11 Issue: Volume:324 Page:85-100
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Morkisz Paweł M.,Przybyłowicz Paweł

Funder

National Science Centre, Poland

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference20 articles.

1. Stochastic Differential Equations and Applications;Mao,2011

2. Numerical Solution of Stochastic Differential Equations;Kloeden,1992

3. Strong Approximation of Systems of Stochastic Differential Equations;Müller-Gronbach,2002

4. Optimal estimation theory for dynamic systems with set membership uncertainty: an overview;Milanese;Automatica,1991

5. Noisy Information and Computational Complexity;Plaskota,1996

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1. Randomized Milstein algorithm for approximation of solutions of jump–diffusion SDEs;Journal of Computational and Applied Mathematics;2024-04

2. On approximation of solutions of stochastic delay differential equations via randomized Euler scheme;Applied Numerical Mathematics;2024-03

3. Euler scheme for approximation of solution of nonlinear ODEs under inexact information;Applied Numerical Mathematics;2023-11

4. On the randomized Euler schemes for ODEs under inexact information;Numerical Algorithms;2022-04-11

5. Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure;SIAM Journal on Numerical Analysis;2022-04

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