Szczegóły publikacji
Opis bibliograficzny
Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients / Paweł PRZYBYŁOWICZ // Journal of Computational and Applied Mathematics ; ISSN 0377-0427. — 2015 — vol. 282, s. 98–110. — Bibliogr. s. 109–110, Abstr.
Autor
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 87378 |
|---|---|
| Data dodania do BaDAP | 2015-01-27 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.cam.2015.01.003 |
| Rok publikacji | 2015 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Journal of Computational and Applied Mathematics |
Abstract
We consider strong one-point approximation of solutions of scalar stochastic differential equations (SDEs) with irregular coefficients. The drift coefficient a : [0, T] x R -> R is assumed to be Lipschitz continuous with respect to the space variable but only measurable with respect to the time variable. For the diffusion coefficient b : [0, T] -> R we assume that it is only piecewise Holder continuous with Holder exponent Q is an element of (0,1]. We show that, roughly speaking, the error of any algorithm, which uses n values of the diffusion coefficient, cannot converge to zero faster than n(-min)[Q, 1/2] as n -> +infinity. This best speed of convergence is achieved by the randomized Euler scheme. (C) 2015 Elsevier B.V. All rights reserved.
