The optimal uniform approximation of systems of stochastic differential equations

Citation
Müller-gronbach, Thomas, The optimal uniform approximation of systems of stochastic differential equations, Annals of applied probability , 12(2), 2002, pp. 664-690
ISSN journal
10505164
Volume
12
Issue
2
Year of publication
2002
Pages
664 - 690
Database
ACNP
SICI code
Abstract
We analyze numerical methods for the pathwise approximation of a system of stochastic differential equations. As a measure of performance we consider the qth mean of the maximum distance between the solution and its approximation on the whole unit interval. We introduce an adaptive discretization that takes into account the local smoothness of every trajectory of the solution. The resulting adaptive Euler approximation performs asymptotically optimal in the class of all numerical methods that are based on a finite number of observations of the driving Brownian motion.