Exponential Timestepping with Boundary Test for Stochastic Differential Equations

DOI10.1137/S1064827501399535MaRDI QIDQ4442137zbMATH OpenDBLPWikidataFDO

Authors Kalvis M. Jansons, G. D. Lythe

Publication date 20 January 2004

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1064827501399535

zbMATH Keywords

a posteriori error estimatescomparison of methodsdiffusion with boundariesEuler methodnumerical experimentsnumerical methodsstochastic calculusstochastic differential equation

Mathematics Subject Classification ID

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)

Review text

Two numerical methods using timestepping in which successive time increments are independent realizations of an exponential random variable are proposed for approximating the solution of the stochastic differential equation \[ dX_t= f(X_t)\,dt+ \sigma(X_t)\,dW_t. \] The methods are designed to be particularly effective for escape time problems in as much as the possibility of a boundary having been penetrated can be easily gauged after each timestep. Results of numerical experiments to estimate mean escape times are summarized, results which show a substantial advantage of these methods compared to the standard Euler method.

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• Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition
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