Discretization of the Wiener-process in difference-methods for stochastic differential equations

DOI10.1016/0304-4149(84)90306-5MaRDI QIDQ799309zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90306-5

zbMATH Keywords

bounded-Lipschitz-distancecomputer-approximationEuler-method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

Review text

The solution of the stochastic differential equation \(dx(t)=a(t, x(t))dt+b(t,x(t))dw(t)\), \(x(0)=x_ 0\), can be approximated by the Euler- method \(x_{n+1}=x_ n+a(t_ n,x_ n)\Delta t+b(t_ n,x_ n)\Delta w(t_ n)\), if the coefficients are uniformly Lipschitz-continuous. In numerical computations an additional approximation is necessary: the Wiener-process has to be replaced by a suitable simulation. In this paper the effect of this simulation is analysed and the error estimated in terms of the bounded-Lipschitz-distance for measures on \(R^ n\). For diffusion coefficients b, independent of x, the analysis is quite simple but problems arise if this is not the case due to multiplicative effects on the error for each time step. It would be of interest to estimate the distance between laws of the diffusion process and its computer-approximation on the space of continuous functions C[0,T] for a 'suitable' metric on the space of measures on C[0,T]. A 'suitable' metric has not yet been found but this problem could be a direction for further research.

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Cites work

• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
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• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• Numerical Integration of Stochastic Differential Equations-II
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Cited in

(12)

• Simulation of stochastic differential equations
• Embedding a stochastic difference equation into a continuous-time process
• Simultaneous time and chance discretization for stochastic differential equations
• Wong-Zakai approximations for stochastic differential equations
• Difference methods for stochastic differential equations with discontinuous coefficients
• On a Formula for the L2 Wasserstein Metric between Measures on Euclidean and Hilbert Spaces
• scientific article; zbMATH DE number 49115 (Why is no real title available?)
• Derandomization of the Euler scheme for scalar stochastic differential equations
• Inference for stochastic neuronal models
• Inference for stochastic neuronal models
• The Euler scheme for Hilbert space valued stochastic differential equations
• A survey of numerical methods for stochastic differential equations

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