Efficient strong integrators for linear stochastic systems

DOI10.1137/060656486MaRDI QIDQ3654394zbMATH OpenOpenAlexFDO

Authors Anke Wiese, Gabriel J. Lord, Simon J. A. Malham

Publication date 6 January 2010

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.2850

zbMATH Keywords

linear stochastic differential equationsMagnus expansionstochastic linear-quadratic controlstrong numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Optimal stochastic control (93E20)

Abstract: We present numerical schemes for the strong solution of linear stochastic differential equations driven by an arbitrary number of Wiener processes. These schemes are based on the Neumann (stochastic Taylor) and Magnus expansions. Firstly, we consider the case when the governing linear diffusion vector fields commute with each other, but not with the linear drift vector field. We prove that numerical methods based on the Magnus expansion are more accurate in the mean-square sense than corresponding stochastic Taylor integration schemes. Secondly, we derive the maximal rate of convergence for arbitrary multi-dimensional stochastic integrals approximated by their conditional expectations. Consequently, for general nonlinear stochastic differential equations with non-commuting vector fields, we deduce explicit formulae for the relation between error and computational costs for methods of arbitrary order. Thirdly, we consider the consequences in two numerical studies, one of which is an application arising in stochastic linear-quadratic optimal control.

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Cited in

(11)

• Weak stochastic Runge-Kutta Munthe-Kaas methods for finite spin ensembles
• On the stochastic Magnus expansion and its application to SPDEs
• Splitting integrators for the stochastic Landau-Lifshitz equation
• Geometric Euler-Maruyama schemes for stochastic differential equations in \(\mathrm{SO}(n)\) and \(\mathrm{SE}(n)\)
• Chi-square simulation of the CIR process and the Heston model
• Perturbed linear rough differential equations
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Algebraic structures and stochastic differential equations driven by Lévy processes
• Algebraic structure of stochastic expansions and efficient simulation
• Stochastic regularized Newton methods for nonlinear equations
• Preserving invariant domains and strong approximation of stochastic differential equations

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