Exponential moment bounds and strong convergence rates for tamed-truncated numerical approximations of stochastic convolutions.
Arnulf JentzenFelix LindnerPrimoz PusnikPublished in: Numer. Algorithms (2020)
Keyphrases
- convergence rate
- stage stochastic programs
- convergence speed
- learning rate
- number of iterations required
- taylor series
- upper bound
- numerical methods
- primal dual
- global convergence
- approximation methods
- conjugate gradient
- lower bound
- linear program
- gaussian kernels
- monte carlo
- worst case
- fourier transform
- variance reduction
- numerical stability
- feature space