Algebraic structure of stochastic expansions and efficient simulation

DOI10.1098/RSPA.2012.0024MaRDI QIDQ5362000zbMATH OpenOpenAlexFDO

Authors Kurusch Ebrahimi-Fard, Alexander Lundervold, Hans Munthe-Kaas, Anke Wiese, Simon J. A. Malham

Publication date 29 September 2017

Published in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.5571

Mathematics Subject Classification ID

Analytical theory of ordinary differential equations: series, transformations, transforms, operational calculus, etc. (34A25) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We investigate the algebraic structure underlying the stochastic Taylor solution expansion for stochastic differential systems.Our motivation is to construct efficient integrators. These are approximations that generate strong numerical integration schemes that are more accurate than the corresponding stochastic Taylor approximation, independent of the governing vector fields and to all orders. The sinhlog integrator introduced by Malham & Wiese (2009) is one example. Herein we: show that the natural context to study stochastic integrators and their properties is the convolution shuffle algebra of endomorphisms; establish a new whole class of efficient integrators; and then prove that, within this class, the sinhlog integrator generates the optimal efficient stochastic integrator at all orders.

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Cited in

(13)

• Quasi-shuffle algebras in non-commutative stochastic calculus
• The non-commutative Korteweg-de Vries hierarchy and combinatorial Pöppe algebra
• Word series for dynamical systems and their numerical integrators
• Word combinatorics for stochastic differential equations: splitting integrators
• Lévy processes and quasi-shuffle algebras
• A technique for studying strong and weak local errors of splitting stochastic integrators
• Algebraic stuttering simulations
• Efficient strong integrators for linear stochastic systems
• Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes
• Stochastic expansions and Hopf algebras
• Algebraic structures and stochastic differential equations driven by Lévy processes
• Direct linearisation of the non-commutative Kadomtsev-Petviashvili equations
• The noncommutative KP hierarchy and its solution via descent algebra

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