Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting.
Pawel PrzybylowiczPublished in: Appl. Math. Comput. (2015)
Keyphrases
- worst case
- asymptotically optimal
- closed form
- weighting coefficients
- asymptotic optimality
- linear combination
- approximation error
- approximation schemes
- marginal likelihood
- optimal solution
- globally consistent
- optimal design
- relative error
- dynamic programming
- worst case analysis
- global information
- optimal strategy
- error tolerance
- multiresolution
- minimum error
- data sets