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- W3044441106 abstract "We deal with pointwise approximation of solutions of scalar stochastic differential equations in the presence of informational noise about underlying drift and diffusion coefficients. We define a randomized derivative-free version of Milstein algorithm Āndf−RM and investigate its error. We also study the lower bounds on the error of arbitrary algorithm. It turns out that in some case the scheme Āndf−RM is the optimal one. Finally, in order to test the algorithm Āndf−RM in practice, we report performed numerical experiments." @default.
- W3044441106 created "2020-07-29" @default.
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- W3044441106 date "2021-02-01" @default.
- W3044441106 modified "2023-10-18" @default.
- W3044441106 title "Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information" @default.
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- W3044441106 doi "https://doi.org/10.1016/j.cam.2020.113112" @default.
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