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The complexity of stochastic differential equations

 

作者: Arthur J. Krener,   Claude Lobry,  

 

期刊: Stochastics  （Taylor Available online 1981）
卷期: Volume 4, issue 3  

页码: 193-203

 

ISSN:0090-9491

 

年代: 1981

 

DOI:10.1080/17442508108833162

 

出版商: Gordon and Breach Science Publishers, Inc

 

数据来源: Taylor

 

摘要:

There has been considerable interest lately in the complexity of solving stochastic differential equations, for example, can they be solved individually for each sample path. In this note we unify what several researchers have indicated, namely that the stochastic complexity depends on the Lie algebra generated by the vector fields multiplying the noises and does not depend on the drift term.

 

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