Randomized derivative-free Milstein algorithm for efficient approximation of solutions of SDEs under noisy information (1912.06865v1)

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 $\mathcal{\bar A}^{df-RM}_n$ and investigate its error. We also study lower bounds on the error of an arbitrary algorithm. It turns out that in some case the scheme $\mathcal{\bar A}^{df-RM}_n$ is the optimal one. Finally, in order to test the algorithm $\mathcal{\bar A}^{df-RM}_n$ in practice, we report performed numerical experiments.