Convergence analysis for minimum action methods coupled with a finite difference method

DOI10.1093/IMANUM/DRAE038MaRDI QIDQ6915884zbMATH OpenFDO

Authors Jialin Hong, Diancong Jin, Derui Sheng

Publication date 15 October 2025

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/IMANUM/DRAE038

zbMATH Keywords

finite difference methodFreidlin-Wentzell action functionalslarge deviationsminimum action methodstochastic differential equations

Mathematics Subject Classification ID

Large deviations (60F10) 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)

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Cited in

(2)

• Strong and weak convergence orders of numerical methods for SDEs driven by time-changed Lévy noise
• Numerical analysis of stochastic Volterra equations with singular kernels via the Euler-Maruyama scheme and large deviations

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