An Optimal Polynomial Approximation of Brownian Motion

James Foster; Terry Lyons; Harald Oberhauser

doi:10.1137/19M1261912

An Optimal Polynomial Approximation of Brownian Motion

James Foster, Terry Lyons, Harald Oberhauser

Research output: Contribution to journal › Article › peer-review

10 Citations (SciVal)

Original language	English
Article number	https://doi.org/10.1137/19M1261912
Journal	SIAM Journal on Numerical Analysis
Volume	58
Issue number	3
DOIs	https://doi.org/10.1137/19M1261912
Publication status	Published - 4 May 2020
Externally published	Yes

Keywords

Brownian motion
Polynomial approximation
Numerical methods for SDEs

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10.1137/19M1261912

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@article{63939068489945539d155b74bb3fd675,

title = "An Optimal Polynomial Approximation of Brownian Motion",

keywords = "Brownian motion, Polynomial approximation, Numerical methods for SDEs",

author = "James Foster and Terry Lyons and Harald Oberhauser",

year = "2020",

month = may,

day = "4",

doi = "10.1137/19M1261912",

language = "English",

volume = "58",

journal = "SIAM Journal on Numerical Analysis",

issn = "0036-1429",

publisher = "SIAM",

number = "3",

}

TY - JOUR

T1 - An Optimal Polynomial Approximation of Brownian Motion

AU - Foster, James

AU - Lyons, Terry

AU - Oberhauser, Harald

PY - 2020/5/4

Y1 - 2020/5/4

KW - Brownian motion

KW - Polynomial approximation

KW - Numerical methods for SDEs

UR - https://arxiv.org/abs/1904.06998

U2 - 10.1137/19M1261912

DO - 10.1137/19M1261912

M3 - Article

SN - 0036-1429

VL - 58

JO - SIAM Journal on Numerical Analysis

JF - SIAM Journal on Numerical Analysis

IS - 3

M1 - https://doi.org/10.1137/19M1261912

ER -

An Optimal Polynomial Approximation of Brownian Motion

Keywords

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