• S. Dereich, M. Scheutzow, NN (Technische Universität Berlin)
• T. Müller-Gronbach, NN (Universität Passau)
• J. Creutzig, F. Heidenreich, K. Ritter (Technische Universität Darmstadt)

Different views on quadrature problems for SDEs lead to rather different algorithmic approaches, e.g., PDE methods based on the Fokker-Planck equation, deterministic or randomized high-dimensional numerical integration for explicitly solvable SDEs, and Monte Carlo simulation of SDEs. In this project we employ the concept of approximation of probability distributions as the basis for quadrature of SDEs, both, for constructing new deterministic and randomized algorithms, as well as for establishing optimality results.

• T. Müller-Gronbach, Constructive quantization of scalar SDEs, Jahrestagung der DMV, Berlin, March 2007.
• On the complexity of infinite-dimensional quadrature problems, Conference on Monte Carlo and Quasi Monte Carlo Methods, Montreal, July 2008

• J. Creutzig, S. Dereich, T. Müller-Gronbach, K. Ritter, Infinite-dimensional quadrature and approximation of distributions, Found. Comput. Math., to appear. Preprint

Deutsche Forschungsgemeinschaft (DFG CR142/2-1), Priority Programme 1324