Discretization and simulation of stochastic differential equations
From MaRDI portal
Let \(X_ t\) be a solution of the following Itô-type stochastic differential equation \(dX_ t=b(X_ t)dt+\sigma (X_ t)dW_ t\). The authors consider approximation schemes of the type \(X_{t_{i+1}}=f(x_{t_ i},W.)\) for the processes \(X_ t\). They discuss both pathwise and mean-square convergence of several approximation schemes and estimate the speed of convergence and errors. As far as the pathwise approximation is concerned the results are connected to the second authors paper, Stochastics 9, 275-306 (1983; Zbl 0512.60041). In the second part the authors discuss schemes for which \(\limsup_{n\to \infty}n^ 2E(| X^ n_ t-X_ t|^ 2)=C_ t\) holds and compare this with several approximations suggested in the literature. Especially the results from many doctorial theses are mentioned which are not published in regular journals. There are finally some numerical results by Monte-Carlo-approximations and stability discussions.
Recommendations
Cites work
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- scientific article; zbMATH DE number 3658779 (Why is no real title available?)
- Numerical initial value problems in ordinary differential equations.
- On the gap between deterministic and stochastic ordinary differential equations
- Stochastic differential equations and Nilpotent Lie algebras
Cited in
(86)- A Galerkin multiharmonic procedure for nonlinear multidimensional random vibration
- Stochastic model of leukocyte chemosensory movement
- Simulation studies on time discrete diffusion approximations
- A confidence interval for Monte Carlo methods with an application to simulation of obliquely reflecting Brownian motion
- \(A\)-stability of Runge-Kutta methods for systems with additive noise
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Convergence and stability of implicit Runge-Kutta methods for systems with multiplicative noise
- Numerical methods for linear boundary value problems based on Feynman-Kac representations
- Simulation of stochastic differential equations
- Adams methods for the efficient solution of stochastic differential equations with additive noise
- Simulation of a space-time bounded diffusion
- A multiple-scale Pascal polynomial triangle solving elliptic equations and inverse Cauchy problems
- Optimal pointwise approximation of SDEs based on Brownian motion at discrete points
- Product expansion for stochastic jump diffusions and its application to numerical approximation
- On weak implicit and predictor-corrector methods
- The solving of boundary value problems by numerical integration of stochastic equations
- Computer simulation of diffusions driven by \(\alpha\)-stable Lévy motion
- Euler scheme for reflected stochastic differential equations
- Simultaneous time and chance discretization for stochastic differential equations
- Numerical solution of differential equations with colored noise
- Wong-Zakai approximations for stochastic differential equations
- Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
- Numerical simulations and modeling for stochastic biological systems with jumps
- A problem with discretizing Vale-Maurelli in simulation studies
- Bootstrap specification tests for diffusion processes
- ARCH models as diffusion approximations
- Discrete approximation of stochastic differential equations
- Basic concepts of numerical analysis of stochastic differential equations explained by balanced implicit theta methods
- Semi-Lagrangian discontinuous Galerkin schemes for some first- and second-order partial differential equations
- Predictive density estimators for daily volatility based on the use of realized measures
- The pathwise convergence of approximation schemes for stochastic differential equations
- Remarks on the rate of strong convergence of Euler-Maruyama approximation for SDEs driven by rotation invariant stable processes
- On Simulating Wiener Integrals and Their Expectations
- Fast strong approximation Monte Carlo schemes for stochastic volatility models
- Second-order discretization schemes of stochastic differential systems for the computation of the invariant law
- Pathwise convergence of numerical schemes for random and stochastic differential equations
- scientific article; zbMATH DE number 4032733 (Why is no real title available?)
- Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
- Nonlinear prediction of crown–of–thorns outbreaks on the great barrier reef
- Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
- scientific article; zbMATH DE number 4104123 (Why is no real title available?)
- scientific article; zbMATH DE number 49115 (Why is no real title available?)
- scientific article; zbMATH DE number 97735 (Why is no real title available?)
- Stratonovich–Taylor expansion and numerical methods∗
- Preservation of probabilistic laws through Euler methods for ornstein-uhlenbeck process
- Approximate solutions for a class of stochastic evolution equations with variable delays. II
- On Modeling Questions In Security Valuation
- Option Pricing Under Incompleteness and Stochastic Volatility
- Time discretization of a setvalued stochastic dynamic system
- A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL
- Coupling backward induction with Monte Carlo simulations: a fast Fourier transform (FFT) approach
- Approximation of continuous time stochastic processes by the local linearization method revisited
- Approximating and Simulating Multivalued Stochastic Differential Equations
- Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
- Approximate solutions for a class of stochastic evolution equations with variable delays
- Efficient discretization of stochastic integrals
- scientific article; zbMATH DE number 942486 (Why is no real title available?)
- Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
- Approximations to solutions of the zakai filtering equation
- White noise and simulation of ordinary Gaussian processes
- On Markov modelling of turbulence
- scientific article; zbMATH DE number 822846 (Why is no real title available?)
- scientific article; zbMATH DE number 826142 (Why is no real title available?)
- A multiresolution method for parameter estimation of diffusion processes
- Almost sure asymptotic stability and convergence of stochastic theta methods applied to systems of linear SDEs in R^d
- Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation
- Approximation of some discrete-time stochastic processes by differential equations
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
- Inference for stochastic neuronal models
- Inference for stochastic neuronal models
- The optimal discretization of stochastic differential equations
- The pdf approach to turbulent polydispersed two-phase flows
- Effects of distributed delays on the stability of structures under seismic excitation and multiplicative noise.
- Adaptive schemes for the numerical solution of SDEs -- a comparison
- Weak approximation of martingale representations
- Conditional minimax filtering of processes in nonlinear stochastic systems
- Three ways to solve partial differential equations with neural networks — A review
- Generative modeling of Lévy area for high order SDE simulation
- Numeric and dynamic B-stability, exact-monotone and asymptotic two-point behavior of theta methods for stochastic differential equations
- Numerical approximation of SDEs with fractional noise and distributional drift
- Numerical simulations of stochastic differential equations
- Computer simulations of multiplicative stochastic differential equations
- Discretization of the Wiener-process in difference-methods for stochastic differential equations
- Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)
- A survey of numerical methods for stochastic differential equations
This page was built for publication: Discretization and simulation of stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q760095)
