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Foundations of Computational Mathematics, Budapest 2011 by Allan Pinkus, Teresa Krick, Felipe Cucker

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4

On the Complexity of ComputingQuadrature Formulas for SDEs

Steffen Dereich

Fachbereich Mathematik und InformatikWestfälische Wilhelms-Universität Münster

   

Thomas Müller-GronbachFakultät für Informatik und MathematikUniversit¨at Passau

   

Klaus Ritter

Fachbereich MathematikTechnische Universit¨at Kaiserslautern

Abstract

We survey recent results on the constructive approximation of the distribution of the solution of a stochastic differential equation (SDE) by probability measures with finite support, i.e., by quadrature formulas with positive weights summing up to one. Here we either consider the distribution on the path space or a marginal distribution on the state space. We provide asymptotic results on the N-th minimal error of deterministic ...

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