Convergence rates for adaptive weak approximation of stochastic differential equations

Moon, Kyoung-Sook (författare)

Zouraris, Georgios (författare)

(creator_code:org_t)

Informa UK Limited, 2005
2005
Engelska.
Ingår i: Stochastic Analysis and Applications. - : Informa UK Limited. - 0736-2994 .- 1532-9356. ; 23:3, s. 511-558

Relaterad länk:: https://urn.kb.se/re...; visa fler...; https://doi.org/10.1...; visa färre...

Abstract Ämnesord

Stäng

Convergence rates of adaptive algorithms for weak approximations of Ito stochastic differential equations are proved for the Monte Carlo Euler method. Two algorithms based either oil optimal stochastic time steps or optimal deterministic time steps are studied. The analysis of their computational complexity combines the error expansions with a posteriori leading order term introduced in Szepessy et al. [Szepessy, A.. R. Tempone, and G. Zouraris. 2001. Comm. Pare Appl. Math. 54:1169-1214] and ail extension of the convergence results for adaptive algorithms approximating deterministic ordinary differential equations, derived in Moon et al. [Moon, K.-S., A. Szepessy, R. Tempone, and G. Zouraris. 2003. Numer. Malh. 93:99-129]. The main step in the extension is the proof of the almost sure convergence of the error density. Both adaptive alogrithms are proven to stop with asymptotically optimal number of steps up to a problem independent factor defined in the algorithm. Numerical examples illustrate the behavior of the adaptive algorithms, motivating when stochastic and deterministic adaptive time steps are more efficient than constant time steps and when adaptive stochastic steps are more efficient than adaptive deterministic steps.

Av författaren/redakt...: Moon, Kyoung-Soo ...; Szepessy, Anders; Tempone Olariaga ...; Zouraris, Georgi ...

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