The complexity of stochastic differential equations
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 4 (3), 193-203
- https://doi.org/10.1080/17442508108833162
Abstract
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.Keywords
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