An optimal polynomial approximation of Brownian motion
From MaRDI portal
Abstract: In this paper, we will present a strong (or pathwise) approximation of standard Brownian motion by a class of orthogonal polynomials. The coefficients that are obtained from the expansion of Brownian motion in this polynomial basis are independent Gaussian random variables. Therefore it is practical (requires independent Gaussian coefficients) to generate an approximate sample path of Brownian motion that respects integration of polynomials with degree less than . Moreover, since these orthogonal polynomials appear naturally as eigenfunctions of an integral operator defined by the Brownian bridge covariance function, the proposed approximation is optimal in a certain weighted sense. In addition, discretizing Brownian paths as piecewise parabolas gives a locally higher order numerical method for stochastic differential equations (SDEs) when compared to the standard piecewise linear approach. We shall demonstrate these ideas by simulating Inhomogeneous Geometric Brownian Motion (IGBM). This numerical example will also illustrate the deficiencies of the piecewise parabola approximation when compared to a new version of the asymptotically efficient log-ODE (or Castell-Gaines) method.
Recommendations
Cites work
- A multiscale guide to Brownian motion
- An algorithmic introduction to numerical simulation of stochastic differential equations
- An asymptotically efficient difference formula for solving stochastic differential equations
- Approximation methods for inhomogeneous geometric Brownian motion
- Approximation of linear functionals on a Banach space with a Gaussian measure
- Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
- Asymptotically optimal approximation of some stochastic integrals and its applications to the strong second-order methods
- Cubature on Wiener space
- Free-knot spline approximation of stochastic processes
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 554500 (Why is no real title available?)
- scientific article; zbMATH DE number 1783075 (Why is no real title available?)
- scientific article; zbMATH DE number 3801436 (Why is no real title available?)
- Linear information for approximation of the Itô integrals
- Multidimensional stochastic processes as rough paths. Theory and applications.
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- Optimal Approximation of the Second Iterated Integral of Brownian Motion
- Rough paths, signatures and the modelling of functions on streams
- Stochastic Lie Group Integrators
- The Classical Orthogonal Polynomials
- The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
- VECTOR VALUED REPRODUCING KERNEL HILBERT SPACES OF INTEGRABLE FUNCTIONS AND MERCER THEOREM
Cited in
(21)- Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- An asymptotic radius of convergence for the Loewner equation and simulation of \(\mathrm{SLE}_{\kappa}\) traces via splitting
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
- A theoretical note on the simulation of Brownian motion
- Optimal Choices of Correlation Operators in Brownian Simulation Methods
- Polynomial Approximation for a Class of Physical Random Variables
- Brownian path generation and polynomial chaos
- A semicircle law and decorrelation phenomena for iterated Kolmogorov loops
- Short communication: projection of functionals and fast pricing of exotic options
- Optimal Approximation of the Second Iterated Integral of Brownian Motion
- Cubature Method for Stochastic Volterra Integral Equations
- Brownian bridge expansions for Lévy area approximations and particular values of the Riemann zeta function
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
- Diagnostic of the Lévy area for geophysical flow models in view of defining high order stochastic discrete-time schemes
- Signature methods in machine learning
- Generative modeling of Lévy area for high order SDE simulation
- A coupling strategy for Brownian motions at fixed time on Carnot groups using Legendre expansion
- First-order convergence of Milstein schemes for McKean-Vlasov equations and interacting particle systems
- Discrete numerical schemes for stochastic shallow water models under location uncertainty
This page was built for publication: An optimal polynomial approximation of Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5110549)
