Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design
复制标题
Euler-Maruyama 方案的精确收敛速度，及其在抽样设计中的应用
DOI：
10.1080/17442509608834090
复制
发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Yaozhong Hu
中科院分区：
文献类型：
--
作者：
Stamatis Cambams;Yaozhong Hu
We consider regular partitions of the interval [0,T] into n subintervals based on a sampling density h. If xt is the solution of the original stochastic differential equation and is the approximate solution using the Euler-Maruyama scheme corresponding to a time discretization partition π, we find the limit as a functional of the sampling density h and the parameters of the stochastic differential equation. We then find the best sampling density and thus the best way to discretize regularly the interval for integrated mean square approximation error. The linear case is also considered in detail. We also apply the same idea to obtain optimal asymptotically efficient schemes.
