Abstract
Recently, it has been shown in Hairer et al. (2015) that there exists a system of stochastic differential equations (SDE) on the time interval [0,T] with infinitely often differentiable and bounded coefficients such that the Euler scheme with equidistant time steps converges to the solution of this SDE at the final time in the strong sense but with no polynomial rate. Even worse, in Jentzen (2016) it has been shown that for any sequence (an)n∈N⊂(0,∞), which may converge to zero arbitrarily slowly, there exists an SDE on [0,T] with infinitely often differentiable and bounded coefficients such that no approximation of the solution of this SDE at the final time based on n evaluations of the driving Brownian motion at fixed time points can achieve a smaller absolute mean error than the given number an. In the present article we generalize the latter result to the case when the approximations may choose the location as well as the number of the evaluation sites of the driving Brownian motion in an adaptive way dependent on the values of the Brownian motion observed so far.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.