Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5773843 | Journal of Complexity | 2017 | 23 Pages |
Abstract
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 Euler-Maruyama scheme. Based on these results, we define a multilevel algorithm for the parameter dependent stochastic integration problem and show its order optimality for various input classes.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Thomas Daun, Stefan Heinrich,