An efficient approximation method for stochastic differential equations by means of the exponential Lie series

DOI10.1016/0378-4754(93)E0062-AzbMath0824.60054MaRDI QIDQ1897652

Jessica Gaines, Fabienne Castell

Publication date: 4 September 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsnumerical approximationsefficient estimators

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (8)

Flows and stochastic Taylor series in Itô calculus ⋮ On the stochastic Magnus expansion and its application to SPDEs ⋮ On a Chen-Fliess approximation for diffusion functionals ⋮ Modified equations for stochastic differential equations ⋮ Splitting methods for non-autonomous Hamiltonian equations ⋮ Splitting Integrators for the Stochastic Landau--Lifshitz Equation ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes ⋮ Cubature Methods and Applications

Cites Work

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• Stochastic flows and Taylor series
• Asymptotic expansion of stochastic flows
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• Stratonovich and Ito Stochastic Taylor Expansions
• Resolution trajectorielle et analyse numerique des equations differentielles stochastiques
• Random Generation of Stochastic Area Integrals
• An asymptotically efficient difference formula for solving stochastic differential equations

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