𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Optimal Discretization of Stochastic Differential Equations

✍ Scribed by Norbert Hofmann; Thomas Müller-Gronbach; Klaus Ritter

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
239 KB
Volume
17
Category
Article
ISSN
0885-064X

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Discrete stochastic optimization using v
Discrete stochastic optimization using variants of the stochastic ruler method
✍ Mahmoud H. Alrefaei; Sigrún Andradóttir 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 190 KB

## Abstract We present two random search methods for solving discrete stochastic optimization problems. Both of these methods are variants of the stochastic ruler algorithm. They differ from our earlier modification of the stochastic ruler algorithm in that they use different approaches for estimat

Adaptive weak approximation of stochasti
Adaptive weak approximation of stochastic differential equations
✍ Anders Szepessy; Raúl Tempone; Georgios E. Zouraris 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 320 KB

## Abstract Adaptive time‐stepping methods based on the Monte Carlo Euler method for weak approximation of Itô stochastic differential equations are developed. The main result is new expansions of the computational error, with computable leading‐order term in a posteriori form, based on stochastic

Bellman equations associated to the opti
Bellman equations associated to the optimal feedback control of stochastic Navier-Stokes equations
✍ Fausto Gozzi; S. S. Sritharan; Andrezej Świȩch 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 225 KB

In this paper we study infinite-dimensional, second-order Hamilton-Jacobi-Bellman equations associated to the feedback synthesis of stochastic Navier-Stokes equations forced by space-time white noise. Uniqueness and existence of viscosity solutions are proven for these infinite-dimensional partial d

Symmetries of first-order stochastic ord
Symmetries of first-order stochastic ordinary differential equations revisited
✍ E. Fredericks; F. M. Mahomed 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 136 KB

## Abstract Symmetries of stochastic ordinary differential equations (SODEs) are analysed. This work focuses on maintaining the properties of the Weiner processes after the application of infinitesimal transformations. The determining equations (DEs) for first‐order SODEs are derived in an Itô calc