A weak trapezoidal method for a class of stochastic differential equations

DOI10.4310/CMS.2011.V9.N1.A15MaRDI QIDQ390252zbMATH OpenOpenAlexFDO

Authors David F. Anderson, Jonathan C. Mattingly

Publication date 22 January 2014

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.3475, http://intlpress.com/site/pub/pages/journals/items/cms/content/vols/0009/0001/a015/index.html

zbMATH Keywords

error analysis numerical method stochastic differential equation weak trapezoidal method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Abstract: We present a numerical method for the approximation of solutions for the class of stochastic differential equations driven by Brownian motions which induce stochastic variation in fixed directions. This class of equations arises naturally in the study of population processes and chemical reaction kinetics. We show that the method constructs paths that are second order accurate in the weak sense. The method is simpler than many second order methods in that it neither requires the construction of iterated Ito integrals nor the evaluation of any derivatives. The method consists of two steps. In the first an explicit Euler step is used to take a fractional step. This fractional point is then combined with the initial point to obtain a higher order, trapezoidal like, approximation. The higher order of accuracy stems from the fact that both the drift and the quadratic variation of the underlying SDE are approximated to second order.

Review text

The authors consider a numerical approximation scheme for stochastic differential equations of the specific form NEWLINE\[NEWLINE dX(t)=b(X(t))dt+\sum_{k=1}^M \sigma_k(X(t))\nu_k dW_k(t),\qquad X(0)=x_0\in \mathbb{R}^d, NEWLINE\]NEWLINE where \(W_k\) are independent scalar Wiener processes, the drift coefficient \(b(\cdot)\), \(\nu_k\in \mathbb{R}^d\) and the individual diffusion coefficients are real and the latter also positive, i.e., \(\sigma_k(\cdot)\geq 0\). Hence the randomness is restricted to fixed (geometrical) directions at random rates. The proposed numerical method is a kind of split-step / predictor-corrector method, using first an explicit Euler approximation to obtain an intermediate result which in the second step is used in an trapezoidal-like step. This procedure results for equations of the specific form in a method with weak-order two avoiding the evaluation of iterated Itō integrals and derivatives of the coefficients. The restriction to a specific type of equations thus yields less complex second-order methods than when considering general equations. The main result of the paper is the proof of the weak convergence order two under sufficient continuity and boundedness assumptions on the coefficients. Further explanations present the heuristic behind the method, a comparison to the Richardson extrapolation and numerical examples illustrating the theoretical results.

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