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On optimal error rates for strong approximation of SDEs with a drift coefficient of fractional Sobolev regularity.
Simon Ellinger
Thomas Müller-Gronbach
Larisa Yaroslavtseva
Published in:
CoRR (2024)
Keyphrases
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error tolerance
error bounds
minimum error
closed form
approximation error
maximum error
relative error
dynamic programming
expected error
wavelet synopses
error rate
optimal design
constant factor
estimation error
optimal control
error accumulation
optimal solution
hurst exponent
cost function